Co-integration is found, what there is no granger casuality

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pushp24feb
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Co-integration is found, what there is no granger casuality

Postby pushp24feb » Thu Oct 01, 2015 7:20 am

hi,
I am doing research on the topic of causal relationship between public debt and GSDP and public debt and total expenditure. While, i doing the calculation, co-integration is found in the data, but doing granger causality test, p value is found more than 5 %. It means there is no causal relationship between these variables. I have studied in the literature that, if there is co-integration in the time series data between different variables, then there must be granger causality either one way or both way. Now but is happening in my case. Is the literature i have studied is wrong or there is something that i don't know. Please suggest something, if there is no Granger causality, then what is the next method i can use. My PhD is on last stage, so what is the next best method for me the study the causal relationship.

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