# Granger causality test for integrated time series

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.

Questions:

1. Do I apply the cointegration test on the first-difference values? Do I test with the AIC-selected maxlag or without?
2. 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?
• Check out the excellent Dave Giles blog posts on Granger causality, cointegration and especially on Granger causality in case of cointegration here and explore the links to other related blog posts in the first paragraph, and here. – Richard Hardy Aug 1 '15 at 17:24