This study examines the Granger causality between electricity consumption and Gross Domestic Product (GDP) for Pakistan using annual data covering the period 1971 to 2007. Augmented Dickey-Fuller test and Phillips-Perron test reveal that both the series, after logarithmic transformation, are non-stationary and individually integrated at order one. Engle and Granger Cointegration test exhibits t...

This study aims to evaluate the link between economic growth and consumer price index (CPI) in Japan for the period of 1980-2014. Initial series were adjusted for stationarity using the Augmented Dickey- Fuller (ADF) test for unit root followed by the application of Johansen Co-integration Test in order to examine the long-run relationship among the variables, while the causalities were evaluat...

Granger’s (1969) popular concept of causality, based on work by Weiner (1956), is typically defined in terms of predictability for one period ahead. Recently, Dufour and Renault (1998) generalized the concept to causality at a given horizon h, and causality up to horizon h, where h is a positive integer that can be infinite (1≤h<∞); see also Sims (1980), Hsiao (1982) and Lütkepohl (1993a) for r...

Granger-causality metrics have become increasingly popular tools to identify directed interactions between brain areas. However, it is known that additive noise can strongly affect Granger-causality metrics, which can lead to spurious conclusions about neuronal interactions. To solve this problem, previous studies have proposed the detection of Granger-causal directionality, i.e. the dominant G...

Granger causality analyses aim to reveal the direction of influence between brain areas by analyzing temporal precedence: if a signal change in area A consistently precedes a signal change in area B, then A Granger-causes B. fMRI-based Granger causality inferences are mediated by the hemodynamic response function which can vary across brain regions. This variability might induce a bias in Grang...

a r t i c l e i n f o JEL classification: Q43 F3 G14 G15 Keywords: Stock market returns Oil price fluctuations Gregory–Hansen co-integration test Toda–Yamamoto Granger non-causality test The main focus of this study is to examine how oil price fluctuations influence the performance of stock markets. This study used the causality approach developed by Toda and Yamamoto (1995) to explore the caus...

We address a consistency problem in the commonly used nonparametric test for Granger causality developed by Hiemstra and Jones (1994). We show that the relationship tested is not implied by the null hypothesis of Granger non-causality. Monte Carlo simulations using processes satisfying the null hypothesis show that, for a given nominal size, the actual rejection rate may tend to one as the samp...

this paper examines the impact of government expenditure on the nigerian economy for the period 1983 - 2012. the government expenditure components used as the explanatory variables in the model are: expenditures on health, education, defense, agriculture and transportation and communication. the gross domestic product (gdp) was used as a parameter for measuring economic growth. in order to esta...