The properties of Granger-causality tests are examined when applied to integrated time series. Recently presented results suggesting spurious causality in such circumstances are shown to be highly dependent upon the absence of deterministic terms from the causality testing equations. The...

In recent research [B. Seo, Distribution theory for unit root tests with conditional heteroskedasticity, J. Econometrics 91 (1999) 113–144] has suggested that the examination of the unit root hypothesis in series exhibiting GARCH behaviour should proceed via joint maximum likelihood (ML)...