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- Thu Feb 12, 2009 1:24 am
- Forum: Econometric Discussions
- Topic: Granger test in cointegrated VAR
- Replies: 1
- Views: 6235
Granger test in cointegrated VAR
Hi I'm now estimating VAR with cointegrated variables, variables of I(1). Some other studies use differenced variables, I(0), to the Granger causality test in VAR even if the variables are cointegrated. Is it OK? I fear that the long term relation of the variables are not to be constructed by differ...