Schulze, Peter M. (contributor) - 2004
For the testing of Granger-causality stationarity of data is obligatory. But economic time series data often contain … (VARECM) it is possible to distinguish between short- and long-run Granger-causality. Toda/Yamamoto reveal a way how … traditional tests for Granger-causality can be used in a VAR-model with the original variables. …