求教Granger因果检验滞后期的选择

以下是引用oldman在2005-7-26 0:11:47的发言： hi, Netdagger, I don't what happened, I couldn't send you email, I hence post my reply here and I suppose you will see it soon. thank you for your question, I have never think of it before. accordingto the definition of r-square, r-square is for knowing howwell themodel explain the data set, but in deciding the lag-length, we wannaknow the power of new-added lag value in explaining the present value,hence, it is meaningless to consider r-square in decidinglag length.actually, r-square should be growing as the increase of laglengthsuppose there is no colinearity and autocorelation caused bynew-addedlag value, you can porve this if you want to get down to thisquestion,alternatively, you also can find solution in many books. ifyou want tosay r-square paly a role in deciding the lag length, Isuggest you checkthe change of the first difference of r-square, maybeit contains someinformation about how good the model is, but in myview, it doesn't makesense. above is my view, I cann't assure you that my interpretation isright, if you have your interpretation, please let me know.

Hi, oldman

Thanks for your msg, I will try it in the future and report the result to u.

Many

Hi, oldman

Thanks for your msg, I will try it in the future and report the result to u.

Many

但是这些准则在eviews上怎么看得到呢？

受益匪浅~~~~~~

最近也在做这方面的文章，头大。。。

两个准则来判断，值较小时的阶数.....................

那个granger分析怎么看两个准则，具体操作是什么啊

njuyy 发表于 2005-7-15 19:20
选使AIC或SC值最小的那个滞后期值

请问Granger的滞后期和VAR的是一样的吗？

njuyy 发表于 2005-7-15 19:20
选使AIC或SC值最小的那个滞后期值

请问Granger的滞后期和VAR的是一样的吗？

糖糖小木偶 发表于 2015-2-25 22:16
请问Granger的滞后期和VAR的是一样的吗？

一般来说，Granger检验是基于VAR建模的基础上的，所以滞后期在一般情况下是一样的。但是。。。，如果你使用T-Y Granger Test, 是有可能不同的。

这都是我十年前的回复啦。。。 祝好