We recently proposed a new measure, termed Phase Slope Index (PSI), It estimates the causal direction of interactions robustly with respect to instantaneous mixtures of independent sources with arbitrary spectral content. We compared this method to Granger Causality for linear systems containing spatially and temporarily mixed noise and found that, in contrast to PSI, the latter was not able to...

Granger causality is increasingly being applied to multi-electrode neurophysiological and functional imaging data to characterize directional interactions between neurons and brain regions. For a multivariate dataset, one might be interested in different subsets of the recorded neurons or brain regions. According to the current estimation framework, for each subset, one conducts a separate auto...

The analysis begins by using annual data for the US from 1959 to 2003 to examine the macroeconomic relationship between government expenditure on public order and safety, output and investment. In practice, total spending on public order and safety is divided up into four categories (police force, fire service, law courts and prison service) so in the second part of the analysis we test for Gra...

Advance information about an impending stimulus facilitates its subsequent identification and ensuing behavioral responses. This facilitation is thought to be mediated by top-down control signals from frontal and parietal cortex that modulate sensory cortical activity. Here we show, using Granger causality measures on blood oxygen level-dependent time series, that frontal eye field (FEF) and in...

The properties of Granger-causality tests are examined when applied to integrated time series. Recently presented results suggesting spurious causality in such circumstances are shown to be highly dependent upon the absence of deterministic terms from the causality testing equations. The analysis is completed by the examination of an alternative non-parametric causality test.

The paper focuses on establishing causation in regression analysis in observational settings. Simple static regression analysis cannot establish causality in the absence of a priori theory on possible causal mechanisms or controlled and randomized experiments. However, two regression based econometric techniques – instrumental variables and Granger causality can be used to test for causality gi...