07-08-2014 10:34 PM
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);
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