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

From: <tolga.i.uzuner_at_jpmorgan.com>
Date: Wed, 02 Jul 2008 16:44:25 +0100


Hmm, I guess one selects the lag that minimizes AIC, which appears to be what selection is returning.

That's great, many thanks Matt.

Tolga

Matthieu Stigler <Matthieu.Stigler_at_gmail.com> 02/07/2008 14:12

To
tolga.i.uzuner_at_jpmorgan.com, r-help_at_r-project.org cc
Thierry.ONKELINX_at_inbo.be
Subject
Re: [R] Optimal lag selection in Granger Causality tests

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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