Zapata, Hector O.; Hudson, Michael A.; Garcia, Philip - In: Western Journal of Agricultural Economics 13 (1988) 02
A Monte Carlo investigation is used to examine the performance of two commonly used tests for Granger causality for univariate and bivariate nonstationary ARMA (p,q) processes. Tests are applied to raw data, first differences of the raw data, and detrended versions of the series. The results...