I have two time series that are both non-stationary at level. The ADF test says they have a unit root. When taking the first difference of each time series, they are now stationary. I guess this is denoted as "I(1)".
Now I test for cointegration (Engle-Granger two-step method) of the time series and apply the Granger causality test as provided in statsmodels.
- Do I apply the cointegration test on the first-difference values? Do I test with the AIC-selected maxlag or without?
- When I see that the first-difference time series are cointegrated (both have $p<0.05$), then can I simply apply the statsmodels Granger causality test?