[R] Optimal lag selection in Granger Causality tests

[ONKELINX, Thierry]

RSiteSearch("Granger Causality", restrict = "functions") yields two
hits.


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ir. Thierry Onkelinx
Instituut voor natuur- en bosonderzoek / Research Institute for Nature
and Forest
Cel biometrie, methodologie en kwaliteitszorg / Section biometrics,
methodology and quality assurance
Gaverstraat 4
9500 Geraardsbergen
Belgium 
tel. + 32 54/436 185
Thierry.Onkelinx op inbo.be 
www.inbo.be 

To call in the statistician after the experiment is done may be no more
than asking him to perform a post-mortem examination: he may be able to
say what the experiment died of.
~ Sir Ronald Aylmer Fisher

The plural of anecdote is not data.
~ Roger Brinner

The combination of some data and an aching desire for an answer does not
ensure that a reasonable answer can be extracted from a given body of
data.
~ John Tukey

-----Oorspronkelijk bericht-----
Van: r-help-bounces op r-project.org [mailto:r-help-bounces op r-project.org]
Namens tolga.i.uzuner op jpmorgan.com
Verzonden: woensdag 2 juli 2008 10:41
Aan: r-help op r-project.org
Onderwerp: [R] Optimal lag selection in Granger Causality tests

Dear R Users,

Can someone point me to a R package which will help me optimally choose
a 
lag for Granger Causality testing ?

Many thanks in advance,
Tolga

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