In this paper, we discuss the properties of mixed graphs which visualize causal relationships between the components of multivariate time series. In these Granger-causality graphs, the vertices, representing the components of the time series, are connected by arrows according to the Granger-causality relations between the variables whereas lines correspond to contemporaneous conditional associa...

??????? ??????? ????? ????? ?????? ??? ????????? ??????? ??????? ???? ????? ?????? ?? ??? ???????? (Granger causality) ??????? (Toda-Yamamoto) ???????? ???? ??? ??????? ??? ???? ??????? ?????? ??????? ???? ?????? ?? ????-???????????? ?????? ????? ?????? ????? ?????? ??? ????? ???? ????? ??? ?????? ??????? ??? ??? ????? ??????? ?????? ??????? ??? ????? ?????? ????? ??????? ???? ?????? ???? ?????...

To examine the long-term causality between Cardiorespiratory Electromyography Galvanic signals for 17 drivers taken from Stress Recognition in Automobile Drivers database. Methods: Two statistical methods, co-integration to reveal an eventual existence of a long-term relationship between ECG (Electrocardiograph), EMG (electromyography), GSR (galvanic skin resistance), heart rate (HR) and respir...

BACKGROUND Measurements in the neurosciences are afflicted with observational noise. Granger-causality inference typically does not take this effect into account. We demonstrate that this leads to false positives conclusions and spurious causalities. NEW METHOD State space modelling provides a convenient framework to obtain reliable estimates for Granger-causality. Despite its previous applic...

Detection and attribution methodologies have been developed over the years to delineate anthropogenic from natural drivers of climate change and impacts. A majority of prior attribution studies, which have used climate model simulations and observations or reanalysis datasets, have found evidence for human-induced climate change. This papers tests the hypothesis that Granger causality can be ex...

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 ...

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 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...