Hi Dear Listers,
I am probably asking a very stupid question, but i need an answer.
I am trying to do granger causality betwenn two time series, one is
stationary at one lag
and the other is stationary at two lags. The inbuilt command for granger
causality in STATA that
I know of is: granger var1 var2, lags(2).
That is it allows me two assign only one number of lag. The question is how
to assign the number of lags when I am dealing
two different lags in two series.