R help - Jul 2008 - 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

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RSiteSearch("Granger Causality", restrict = "functions")
yields two
hits.


------------------------------------------------------------------------
----
ir. Thierry Onkelinx
Instituut voor natuur- en bosonderzoek / Research Institute for Nature
and Forest
Cel biometrie, methodologie en kwaliteitszorg / Section biometrics,
methodology and quality assurance
Gaverstraat 4
9500 Geraardsbergen
Belgium 
tel. + 32 54/436 185
Thierry.Onkelinx op inbo.be 
www.inbo.be 

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-----Oorspronkelijk bericht-----
Van: r-help-bounces op r-project.org [mailto:r-help-bounces op r-project.org]
Namens tolga.i.uzuner op jpmorgan.com
Verzonden: woensdag 2 juli 2008 10:41
Aan: r-help op 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
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 of any financial instrument or as an official confirmation
of any transaction. In the event you are receiving the offering
materials attached below related to your interest in hedge funds or
private equity, this communication may be intended as an offer or
solicitation for the purchase or sale of such fund(s).  All market
prices, data and other information are not warranted as to
completeness or accuracy and are subject to change without notice.
Any comments or statements made herein do not necessarily reflect
those of JPMorgan Chase & Co., its subsidiaries and affiliates.

This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
use of the information contained herein (including any reliance
thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
Co., its subsidiaries and affiliates, as applicable, for any loss
or damage arising in any way from its use. If you received this
transmission in error, please immediately contact the sender and
destroy the material in its entirety, whether in electronic or hard
copy format. Thank you.
Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.
	[[alternative HTML version deleted]]

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and provide commented, minimal, self-contained, reproducible code.

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