3.2. Unit root test
Since Granger causality tests are sensitive to the stationarity of the series we first study the stationarity
properties of the variables. If the series are integrated of the same order one can proceed with the
cointegration tests. There are a variety of unit root tests that sometimes yield conflicting results. Therefore,
in order to proceed with cointegration and VEC analyses one needs to be confident as to the order of
integration of the series used.