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Suppose we have two time series, if one has autocorrelations and the other is non stationary how do we test whether they Granger cause a returns series?

share|improve this question… – John Mar 11 '14 at 22:44
Exactly as @John says, the TY test can be done on a VAR in Levels. – user2763361 Mar 14 '14 at 14:27

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