Optimal lag selection in Granger Causality tests

[Amir Moayeri]

I use [TS] varsoc to obtain the optimum lag length for the Granger causality test. This command reports the optimal number of lags based on different criteria such as Akaike's information criterion (AIC).
Is there any way to store the optimal lag number (obtained based on AIC) in a variable and use it in the next command to estimate causality? Something like this:
Lag= varsoc X Y
tvgc X Y, p(Lag) d(Lag) trend window(30) prefix(_) graph

[Nick Cox]

Cross-posted and answered at https://stackoverflow.com/questions/...ausality-tests

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