[R] Optimal lag selection in Granger Causality tests

Matthieu Stigler Matthieu.Stigler at gmail.com
Wed Jul 2 15:12:22 CEST 2008

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


> 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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