hello, I would like to ask specifically about the ideal number of lags for a panel granger causality test. the cross sections in the assignment are 10 and the time periods are 1000 (daily data). under these facts which is the ideal lags number that should be set for panel granger causality?
and a second question. is it proper to set lags number to 360 ? or the lags number should be considerably small (2 , 4 ,6)?
thanks :D
Panel Granger Causality
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