[R-SIG-Finance] Granger Causality Test

Eric Zivot ezivot at u.washington.edu
Thu Aug 14 00:00:42 CEST 2008

Granger causality only makes sense between stationary variables or between
nonstationary variables that are cointegrated. See the excellent textbook A
New Introduction to Multiple Time Series  by Helmut Lutkepohl for everything
you ever wanted to know about causality testing

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Hsiao-nan
Sent: Wednesday, August 13, 2008 2:24 PM
Subject: [R-SIG-Finance] Granger Causality Test



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



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