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

From: Matthieu Stigler <Matthieu.Stigler_at_gmail.com>
Date: Wed, 02 Jul 2008 15:12:22 +0200


See function VARselect() in package vars which computes AIC and BC for each lag

function ar() also computed VAR models with automatic selection of lags

Mat

> 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,
> - granger.test and
> - the causality functions which actually implement the tests, but nothing
> which helps with
>
> 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



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