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).

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.

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