Re: [R] Optimal lag selection in Granger Causality tests

From: <tolga.i.uzuner_at_jpmorgan.com>
Date: Wed, 02 Jul 2008 10:40:35 +0100


First of all, I was not aware of the RSiteSearch function. Cool. Thanks for that.

That having been said, I could not find anything here that helps with optimal lag selection.

I can see:
- grangertest,

To be fair, I had already found these, and am currently using granger.test (tho causality looks interest too, which I hadn't seen before...).

I did try things like:

RSiteSearch("Granger Causality optimal leg")
RSiteSearch("Causality optimal leg")
RSiteSearch("optimal leg")

and variants but nothing.

Anyway, if anyone has any pointers, would be most appreciated.

Still, that is a cool function, thanks for pointing it out Thierry.

Tolga

"ONKELINX, Thierry" <Thierry.ONKELINX_at_inbo.be> 02/07/2008 09:53

To
<tolga.i.uzuner_at_jpmorgan.com>, <r-help_at_r-project.org> cc

Subject
RE: [R] Optimal lag selection in Granger Causality tests

RSiteSearch("Granger Causality", restrict = "functions") yields two hits.




ir. Thierry Onkelinx
Instituut voor natuur- en bosonderzoek / Research Institute for Nature and Forest
Cel biometrie, methodologie en kwaliteitszorg / Section biometrics, methodology and quality assurance
Gaverstraat 4
9500 Geraardsbergen
Belgium
tel. + 32 54/436 185
Thierry.Onkelinx_at_inbo.be
www.inbo.be

To call in the statistician after the experiment is done may be no more than asking him to perform a post-mortem examination: he may be able to say what the experiment died of.
~ Sir Ronald Aylmer Fisher

The plural of anecdote is not data.
~ Roger Brinner

The combination of some data and an aching desire for an answer does not ensure that a reasonable answer can be extracted from a given body of data.
~ John Tukey

-----Oorspronkelijk bericht-----
Van: r-help-bounces_at_r-project.org [mailto:r-help-bounces_at_r-project.org] Namens tolga.i.uzuner_at_jpmorgan.com
Verzonden: woensdag 2 juli 2008 10:41
Aan: r-help_at_r-project.org
Onderwerp: [R] Optimal lag selection in Granger Causality tests

Dear R Users,

Can someone point me to a R package which will help me optimally choose a
lag for Granger Causality testing ?

Many thanks in advance,
Tolga

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