[R-SIG-Finance] Granger Causality Test

[Patrick Brandt]

The following cites cover much of the basics of Granger causality for
I(d) variables:


@ARTICLE{Dolado&Lutkepohl96,
  author = {Dolado, Juan J. and Helmut Lutkepohl},
  year = 1996,
  title = {Making Wald Tests Work for Cointegrated {VAR} Systems},
  journal = {Econometric Reviews},
  volume = 15,
  number = 4,
  pages = {369-386}
}

@Article{Zapata&Rambaldi1997,
  author = 	 {Hector O. Zapata and Alicia N. Rambaldi},
  title = 	 {Monte Carlo Evidence on Cointegration and Causation},
  journal = 	 {Oxford Bulletin of Economics and Statistics},
  year = 	 1997,
  volume =	 59,
  number =	 2,
  pages =	 {285-298},
  month =	 {May},
}

@ARTICLE{Engle&Granger87,
  author = {Engle, Robert F. and C. W. J. Granger},
  year = 1987,
  title = {Co-Integration and Error Correction: Representation, Estimation and
          Testing},
  journal = {Econometrica},
  volume = 55,
  pages = {251-76}
}

On Wed, Aug 13, 2008 at 4:23 PM, Hsiao-nan Cheung <niheaven at hotmail.com> wrote:
> Hi,
>
>
>
> I have some question that whether only stationary series could do Granger
> Causality Test. Is there any exception?
>
>
>
> Since I¡¯ve found somewhere that to make a time series stationary, the
> differential series may has little economic meaning.
>
>
>
> Hsiao-nan Cheung
>
>
>
>
>
>
>        [[alternative HTML version deleted]]
>
>
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-- 
Patrick Brandt
Assistant Professor
Political Science
School of Economic, Political and Policy Sciences
University of Texas at Dallas
Personal site: http://www.utdallas.edu/~pbrandt
MSBVAR site: http://yule.utdallas.edu