In case of Granger Causality when we select lag using VAR, should we deduct degree of freedom? If yes, How to determine df?

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Mohammad Mousa Alalaya

sir it is not necessary to conduct the degrees of freedom ,but if you need to do this you will return to the formulla which conduct the degrees of freedom

Mohamed Douch

No need to deduct df in the case of lag selection. You may need to check this ref.

ref: Thornton D. L. And Batten. D. S.: Lag Length Selection and Granger Causality. (1984) Working Paper Series 1984-001a Federal Reserve Bank Of St. Louis Available At: http://research.stlouisfed.org/wp/1984/1984-001.pdf

Mrunal Chetanbhai Joshi

Thank you all