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Granger causality test and Engle-Granger Cointegration Test
Posted: Thu Mar 15, 2012 7:03 pm
by cecedi
Can we use the Granger causality test and Engle-Granger cointegration test for discrete data? Or these tests are only used for time series data?
Many thanks
Best regards
Re: Granger causality test and Engle-Granger Cointegration T
Posted: Fri Mar 16, 2012 4:24 pm
by TomDoan
cecedi wrote:Can we use the Granger causality test and Engle-Granger cointegration test for discrete data? Or these tests are only used for time series data?
Many thanks
Best regards
What do you mean by "discrete"? A dummy variable or any bounded variable can't be I(1) so an EG test wouldn't make any sense. You can put dummy shifts into cointegrating vectors if that's what you want to do. CATS is set up to do that. Note that it changes the asymptotic distribution.