Frequency Domain Repercussions of Instantaneous Granger Causality

Using directed transfer function (DTF) and partial coherence (PDC) in the information version, this paper extends theoretical framework to incorporate instantaneous Granger causality (iGC) frequency domain description into a single unified perspective. We show that standard vector autoregressive models allow portraying iGC’s repercussions associated with connectivity, where interactions mediated without delay between time series can be easily detected.