Identifying causal relations among simultaneously acquired signals is an important challenging task in time series analysis. The original definition of Granger causality was based on linear models, its application to nonlinear systems may not be appropriate. We consider an extension of Granger causality to nonlinear bivariate time series with the universal approximation capacity in reproducing ...

Canonical-correlation analysis as a multivariate statistical technique has been applied to multivariate Granger causality analysis to infer information flow in complex systems. It shows unique appeal and great superiority over the traditional vector autoregressive method, due to the simplified procedure that detects causal interaction between multiple time series, and the avoidance of potential...

This paper tries to examine the Granger causality between electricity consumption per capita and Gross Domestic Product (GDP) per capita for India using annual data covering the period 1950–51 to 1996–97. Phillips–Perron tests reveal that both the series, after logarithmic transformation, are non-stationary and individually integrated of order one. This study finds the absence of long-run equil...

Assessing directed functional connectivity from time series data is a key challenge in neuroscience. One approach to this problem leverages a combination of Granger causality analysis and network theory. This article describes a freely available MATLAB toolbox--'Granger causal connectivity analysis' (GCCA)--which provides a core set of methods for performing this analysis on a variety of neuros...

This paper examines the relationship between firm performance and ownership structure for listed and OTC manufacturing firms in Taiwan. By classifying ownership into three categories (managerial owners, institutional owners and the control group), the study addresses two related empirical issues—the commonly examined piecewise and the Granger causality relationships between ownership and perfor...

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 mediate...