本文分析了Granger因果检验过程中的两个关键问题:平稳性与滞后阶的选取。对于前者,我们分三种情况讨论了Granger因果检验的具体使用方法;对于后者,我们也给出了两种不同方法,并就其具体的使用提出了一定的建议。
This paper analysis two key problems involved in the Granger Causality Test: stationality and time lag. As for the stationality, we provided specific methods under three different cases. And for the latter, we give two methods for select time lag. Some suggestions on how to correctly select time lag are presented in the end of the paper.