Hello everyone,

I would like to perform a granger causality test between two variables, A and B.

However, these two variables are of orders I(0) and I(1).
The variable A is stationary I(0) and the variable B is stationary in the first difference I(1).

However when I use VARSOC :

Code:
varsoc A difference_B
// I get as optimal lag of 0

Please, I have two questions:
  1. Is it normal to have an optimal lag of 0 to perform a granger causality test? (I have read on the internet several times that it is not normal to have a granger causality test)
  2. What should I do when I have two variables of different orders?
Thank you in advance.

Pita