How to study Granger Causality With Seasonality In Data?
It is not a necessity to use a seasonally adjusted data for VAR and Granger Causality. If one, however, uses a data with seasonality for estimating VAR / Granger causality and does not do anything to deal with it, the results would capture both effects – one coming from the common seasonality and the other, which is not seasonal. Un-modeled seasonality tends to violate the constant parameter assumption of standard linear VAR models. Furthermore, it is important to determine the nature of seasonality – deterministic or stochastic.