iran is one of the most concentrated areas of afghan migrants and refugees. most afghans dispersed throughout the country mixed with iranian households. the majority of afghan immigrants are typically unskilled and illegal workers. this study aims at investigating the nature of the causal relationship between afghan immigrants and two main labor market indicators, average wages and unemployment...

Granger causality (GC), based on a vector autoregressive model, is one of the most popular methods in uncovering the temporal dependencies among time series. The original Granger model is able to detect only linear causal dependencies and many approaches were recently developed to extend it to the non-linear modeling. The method Copula-Granger from Bahadori and Liu in 2012 introduces non-linear...

We describe a new measure of Granger causality, componential Granger causality, and show how it can be applied to the identification of the directionality of influences between brain areas with functional neuroimaging data. Componential Granger causality measures the effect of y on x, but allows interaction effects between y and x to be measured. In addition, the terms in componential Granger c...

We present a unified mathematical derivation of the asymptotic behaviour of three of the main forms of directed transfer function (DTF) complementing recent partial directed coherence (PDC) results [3]. Based on these results and numerical examples we argue for a new directed ‘link’ centered neural connectivity framework to replace the widespread correlation based effective/functional network c...

We address a consistency problem in the commonly used nonparametric test for Granger causality developed by Hiemstra and Jones (1994). We show that the relationship tested is not implied by the null hypothesis of Granger non-causality. Monte Carlo simulations using processes satisfying the null hypothesis show that, for a given nominal size, the actual rejection rate may tend to one as the samp...

Granger causality analysis is becoming central for the analysis of interactions between neural populations and oscillatory networks. However, it is currently unclear whether single-trial estimates of Granger causality spectra can be used reliably to assess directional influence. We addressed this issue by combining single-trial Granger causality spectra with statistical inference based on gener...

Causality discovery has been one of the core tasks in scientific research since the beginning of human scientific history. In the age of data tsunami, the task could involve millions of variables, which cannot be achieved feasibly by human. However, the causal discovery using artificial intelligence and statistical techniques in non-experimental settings faces several challenges. In this work, ...

This paper investigates the dynamic relationship between volatility, volume and open interest in CSI 300 futures market using asymmetric GARCH model, Granger causality test, variance decomposition and impulse response function based on 1-min data. ARMA-EGARCH model is employed and find that both contemporaneous and lagged volume is positively related to volatility, and current open interest has...

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...

Previous studies have shown that synchronized beta frequency (14-30 Hz) oscillations in the primary motor cortex are involved in maintaining steady contractions of contralateral arm and hand muscles. However, little is known about the role of postcentral cortical areas in motor maintenance and their patterns of interaction with motor cortex. We investigated the functional relations of beta-sync...