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Hi!

If you difference data to bring it stationary, do you still need to insert filters or dummy variables to account for business cycle fluctuations?

Thanks!!

if u r using yearly data and u have 40 years. then u can use one year.....usually they do not go beyond.
so u can conduct Granger causality using one year back
hope it helps

I have yearly data with 13 observations. What lag length should I choose? Thanks!

Hi! I am constructing a model of GDP regressed on 6 independent variables. After testing for stationarity and running the base regression with stationary variables, I would like to check whether there is causality running from each tax variable onto GDP and vice-versa. But how do you choose the lag ...

Hi! I am constructing a model of GDP and 6 independent variables. I test for stationarity and if variables are non-stationary I take differences to bring them stationary and run my regression. Then I would like to test for cointegration using the Johansen technique by entering the variables in level...