BACKGROUND Measurements in the neurosciences are afflicted with observational noise. Granger-causality inference typically does not take this effect into account. We demonstrate that this leads to false positives conclusions and spurious causalities. NEW METHOD State space modelling provides a convenient framework to obtain reliable estimates for Granger-causality. Despite its previous applic...

Detection and attribution methodologies have been developed over the years to delineate anthropogenic from natural drivers of climate change and impacts. A majority of prior attribution studies, which have used climate model simulations and observations or reanalysis datasets, have found evidence for human-induced climate change. This papers tests the hypothesis that Granger causality can be ex...

The traditional linear Granger test has been widely used to examine the linear causality among several time series in bivariate settings as well as multivariate settings. Hiemstra and Jones [19] develop a nonlinear Granger causality test in bivariate settings to investigate the nonlinear causality between stock prices and trading volume. This paper extends their work by developing a non-linear ...

This paper addresses the problem of inferring circulation of information between multiple stochastic processes. We discuss two possible frameworks in which the problem can be studied: directed information theory and Granger causality. The main goal of the paper is to study the connection between these two frameworks. In the case of directed information theory, we stress the importance of Kramer...

Using a sample of province-level panel data, this paper investigates the Granger causality associations among economic growth (GDP), foreign direct investment (FDI) and CO2 emissions in China. By applying the bootstrap Granger panel causality approach (Kónya, 2006), we consider both cross-sectional dependence and homogeneity of different regions in China. The empirical results support that the ...

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...