This paper proposes a methodology that combines the use of Schwarz’s BIC in subset autoregression and subset transfer function identification along with the posterior odds ratio test developed by Poskitt & Tremayne (1987) in the context of testing for Granger-causality and cointegration tests. This approach provides a measure for the strength (decisiveness) of causality and cointegration betwee...

It is well known that EEG signals of Alzheimer's disease (AD) patients are generally less synchronous than in age-matched control subjects. However, this effect is not always easily detectable. This is especially the case for patients in the pre-symptomatic phase, commonly referred to as mild cognitive impairment (MCI), during which neuronal degeneration is occurring prior to the clinical sympt...

We provide a structural approach to disentangle Granger versus instantaneous causality effects from transaction durations to transaction prices. So far, in the literature, instantaneous causality effects have either been excluded or cannot be identified separately from Granger type causality effects. By giving explicit moment conditions for observed returns over (random) transaction duration in...

The interaction of BRICS stock markets with the United States is studied using an asymmetric Granger causality test based on the frequency domain. This type of analysis allows for both positive and negative shocks over different horizons. There is a clear bivariate causality that runs both ways between the United States stock market and the respective BRICS markets. In addition, both negative a...

This paper indicates causality as the tool that unifies the analysis of both activations and connectivity of brain areas, obtained with fMRI data. Causality analysis is commonly applied to study connectivity, so this work focuses on demonstrating that also the detection of activations can be handled with a causality analysis. We test our method on finger tapping data, in which GLM and Granger C...

We analyze the relationship between website visits, magazine demand and the demand for advertising pages using Granger non-causality tests on the basis of an extensive and externally audited quarterly data set for the German magazine market spanning the period I/1998 to II/2004. We use traditional panel data estimators and an estimator suitable for heterogeneity across magazines. We find very r...

this paper empirically investigates the exchange rate effects of iranian rial against dollar (rial vs.us) on stock prices in iran. the sample period for the study has been taken from march 20, 2004 to march 20, 2010 using daily nominal exchange rate of rial /us and daily closing values of tehran stock exchange. generalized autoregressive conditional heteroskedasticity (garch) model has been use...

this world; though all the discussions are focused on the causal relationships in allthe scientific arguments. one of the methods to study the designed causal relationshipsobjectively is granger causality test. this paper aims to investigate the longtermcausal relationship between the stock price and dividends. the statisticalpopulation includes 180 active companies in stock exchange of tehran ...