Is it correct to use Granger Causality Tests on non-stationary, i(1), time-series? Or should I (log)difference my data first?
I cannot seem to find the answer to this question in any of my books or online.
Thank you very much for your help.
I have estimated my model using the Fixed Effects Common Panel method and this seems to work fine. I get an R2 of .90
However, I am now in doubt whether I should use GMM to estimate my model instead? I am not very familiar with GMM.
Could someone tell me what the prerequisites for...