Is having a maximum lag length of 0 ok after the differencing of variables (variables are not stationary at level). If yes, how can we run the Granger Causality Test through VAR or VECM modelling without having any lags, because it asks for minimum 1 lag to run the Granger Causality Test. The data is annual and I am trying to find the Causality relationship between GDP and Construction Industry. 

Should I use VAR modelling or not when the number of lags is 0?  

If not, which method should I use?