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  • Lag selection in Granger Causality

    I am doing Granger Causality test and I want to know about the lag selection. I am using 'forvalues' to find out the optimal lag length.

    My dependent variable(Y) is 'GDP' and independent variable(X) is 'EMPLOYMENT"

    When I use the 'forvalues' command, it gives a different lag length with each variable.

    For example, Y → X (lag 2, based on AIC), X → Y (lag 3).

    In my understanding, with each direction(Y → X, X →Y), the lag length should be the same.

    Is it okay to use the command of 'varsoc'? Is it different than the command of 'forvalues?

    Thanks a lot...