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 <[EMAIL PROTECTED]>
02/07/2008 14:12
To
[EMAIL PROTECTED], r-help@r-project.org
cc
[EMAIL PROTECTED]
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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