Seasonally adjusted stationary timeseries for GRANGER C

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kaveh85
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Joined: Wed Nov 26, 2014 4:41 am

Seasonally adjusted stationary timeseries for GRANGER C

Postby kaveh85 » Wed Nov 26, 2014 5:05 am

Hi Guys,
Note to mod: First time posting on this forum so not sure if this is the right subforum, if not please move to the correct one =)
Eviews version 8 user:

Im trying to test the granger causality between three variables that are non stationary and not seasonally adjusted and Im having some trouble figuring out which data to use in the granger test:

Ive gone through the following steps:
1. Imported the timeseries data, tested for stationarity. It was non stationary, not even after taking the second difference.
2. Following the instructions of this video https://www.youtube.com/watch?v=puXTn_5lnFc so that the variables are seasonally adjusted
3. Performed a Augmented dickey fuller test on the series that was generated in step 2, at level, and first difference until the ADF-Statistic was higher than the 1% critical value.

The values generated in step 3, are these the values that Im supposed to use in the Granger Causality test? Given that they are seasonally adjusted and stationary? I have a vague memory of seeing an instruction video where the first difference was subtracted from the original series?

Really appreciate any help!!

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