The study of time lags between spikes in Gamma-Ray Bursts light curves in different energy bands as a function of redshift may lead to the detection of effects due to Quantum Gravity. We present an analysis of 15 Gamma-Ray Bursts with measured redshift, detected by the HETE-2 mission between 2001 and 2006 in order to measure time lags related to astrophysical effects and search for Quantum Gravity signature in the framework of an extra-dimension string model. The use of photon-tagged data allows us to consider various energy ranges. Systematic effects due to selection and cuts are evaluated. No significant Quantum Gravity effect is detected from the study of the maxima of the light curves and a lower limit at 95% Confidence Level on the Quantum Gravity scale parameter of 3.2x10**15 GeV is set.