significant lags in causality test? [Cross-posted to R-Sig-Finance]
Hi all, I have a question regarding Granger causality test. I have searched on Internet intensively and extensively and have used both the "grangertest" function in lmtest package and the "causality" function in vars package. If we see that x causes y, is there a way to obtain the significant lags of x which help forecast y? Thanks!
