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?
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$\begingroup$ davegiles.blogspot.com/2011/04/… $\endgroup$– JohnMar 11, 2014 at 22:44
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$\begingroup$ Exactly as @John says, the TY test can be done on a VAR in Levels. $\endgroup$– user2763361Mar 14, 2014 at 14:27
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