VAR Granger Causality- Proc Varmax

[boas3ad]

Hi,

I am trying to do VAR Granger Causality using Proc Varmax by the below code:

  /*--- Causality Testing ---*/
proc varmax data=grunfeld;
model y1-y3 = x1 x2 / p=1 noprint;
causal group1=(x1) group2=(y1-y3); causal group1=(y3) group2=(y1 y2);
run; 

My question, how can I choose how many lag or  the value for p- p=????? (I think it is how many lag to test but how shall I choose it)?

My results changed significantly if I change the value for p

[user24feb]

Hi!

The Akaike (AIC) or the Schwarz-Bayesian (SBC) criterion can be used to determine the proper order of p. It is in the SAS output.