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- Wed Mar 30, 2016 10:19 am
- Forum: Econometric Discussions
- Topic: Granger Causality Testing
- Replies: 4
- Views: 25674
Re: Granger Causality Testing
Regarding lag selection, one will have to use either AIC or SIC values. Calculate AIC or SIC values using VAR for upto 8 lags (depending on the number of observations). Lower the AIC or SIC, better the model.