[R] Granger causality: lag selection

John m|@ojpm @end|ng |rom gm@||@com
Fri Nov 2 09:59:58 CET 2018


Hi,

   I see an R user chooses the lag of Granger causality by finding out the
lag for the most significant result
   https://www.r-bloggers.com/granger-causality-test/

   Is it generally legitimate to do so, without determining the lag first
by AIC or BIC?

   Thanks,

John

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