[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 Generally, this communication is for informational purposes only and it is not intended as an offer or solicitation for the purchase or sale

Re: [R] Optimal lag selection in Granger Causality tests

bericht- Van: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] Namens [EMAIL PROTECTED] Verzonden: woensdag 2 juli 2008 10:41 Aan: r-help@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

Re: [R] Optimal lag selection in Granger Causality tests

. ~ John Tukey -Oorspronkelijk bericht- Van: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] Namens [EMAIL PROTECTED] Verzonden: woensdag 2 juli 2008 10:41 Aan: r-help@r-project.org Onderwerp: [R] Optimal lag selection in Granger Causality tests Dear R Users, Can someone point me to a R package

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