[R-SIG-Finance] Granger Causality Test

[John Frain]

You can do Granger Causality tests in VECM systems. See, for example
Lutkepohl (2005), New introduction to multiple time series analysis,
Springer. Section 7.6.

Best Regards

John Frain

2008/8/13 Hsiao-nan Cheung <niheaven at hotmail.com>:
> Hi,
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> I have some question that whether only stationary series could do Granger
> Causality Test. Is there any exception?
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> 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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-- 
John C Frain
Trinity College Dublin
Dublin 2
Ireland
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