Granger-Causality in the Presence of Structural Breaks
Published in Economics Bulletin, 2008
Recommended citation: Ventosa-Santaulària, D., and Vera-Valdés, J.E. (2008). "Granger-Causality in the Presence of Structural Breaks." Economics Bulletin. 3(61). https://www.accessecon.com/pubs/eb/2008/volume3/EB-08C20013A.pdf
This paper proves that if the data generating process is either broken-trend stationary or broken-mean stationary, correct inference can not be drawn from a standard Granger-Causality test, even if the variables are differenced.