Granger Causality Test and Lags

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slacknoise
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Joined: Wed Jun 20, 2012 12:00 pm

Granger Causality Test and Lags

Postby slacknoise » Sun Jul 01, 2012 4:19 am

Hello,
I have several Questions concerning Granger Causality.
I have performed a Granger Causality Test and figuered the optimal Number of lags to be in this case 5. How do i deal with it now? Do I need to construct a new variable with a lag of 5 then in order to estimate a better regression model?

Why does eviews has as a standard a lag of 2?

Most of the time i can reject the Null Hypothesis, what does this imply for my regression model?

Thank you very much in advance.

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