Re: Granger Causality Test. Stationary or non-stationary data? (Eviews)
I also had the same problem. Hopefully, I got something which can be helpful for both of us.
In sum :You need to have stationary data to run the Granger test.
Please read the following document for more details http://mpra.ub.uni-muenchen.de/2962/...paper_2962.pdf
You can read on page 5 this : "Granger causality requires that the series have to be covariance stationary......."