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 paper studies the role of business and social networks in international investment by examining the effects of ethnic Chinese networks on foreign direct investment (FDI) in China. After controlling for a variety of economic determinants of FDI, this study finds a significant positive role in inward FDI of ethnic Chinese networks proxied by the population share of ethnic Chinese in the inve...

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...

abstract the study examines the growth effects of foreign direct investment on environmental quality in nigeria between 1970 and 2013. variables like per capita income, environmental degradation, foreign direct investment, human capital, inflation, trade openness, interest rate, and the interaction term between foreign direct investment and carbon emission were employed in the study. a long run...

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...