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 <Matthieu.Stigler@gmail.com> 
02/07/2008 14:12

To
tolga.i.uzuner@jpmorgan.com, r-help@r-project.org
cc
Thierry.ONKELINX@inbo.be
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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