HOW TO SELECT A REASONABLE LAG ORDER FOR TESTING LINEAR GRANGER CAUSALITY?
Abstract
We derive a new criterion for the optimal and efficient selection of the number of
lags in the context of testing linear Granger causality environment in the sense of theory and
empirics respectively, which may be better in empirics than those suggested
Citation
Sheng, W., Nishimura, H., Kaewcharoen, A., Nzimbi, B. M., Pokhariyal, G. P., Khalagai, J. M., ... & Robbins, N. (2008). HOW TO SELECT A REASONABLE LAG ORDER FOR TESTING LINEAR GRANGER CAUSALITY?. Far East Journal of Mathematical Sciences (FJMS), 28(2), 257-272.Publisher
University of Nairobi. School of Mathematics