I want to estimate granger causality between two series. Visual inspection indicates it might be useful to normalize data first (i.e. (X-mean(x))/ (sample stdev(x)) )
Are there some caveats associated with that?
Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It only takes a minute to sign up.Sign up to join this community
Normalising your data does not affect statistical inference in a regression model (see here When conducting multiple regression, when should you center your predictor variables & when should you standardize them?). Hence, you can just carry out tests for Granger causality as per usual.