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Testing the involvement of baroreflex during general anesthesia through Granger causality approach
Computers in Biology and Medicine, 2012Baroreflex sensitivity (BRS) is commonly assessed from spontaneous fluctuations of heart period (HP) and systolic arterial pressure (SAP) during general anesthesia. Unfortunately, general anesthesia depresses autonomic function and, consequently, spontaneous SAP variations could not be capable to drive HP changes, thus preventing the use of spontaneous
Bassani, T +5 more
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Testing for Granger Causality in the Frequency Domain: A Phase Resampling Method
Multivariate Behavioral Research, 2016This article introduces phase resampling, an existing but rarely used surrogate data method for making statistical inferences of Granger causality in frequency domain time series analysis. Granger causality testing is essential for establishing causal relations among variables in multivariate dynamic processes. However, testing for Granger causality in
Siwei, Liu, Peter, Molenaar
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Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation
The Journal of Finance, 1994ABSTRACTLinear and nonlinear Granger causality tests are used to examine the dynamic relation between daily Dow Jones stock returns and percentage changes in New York Stock Exchange trading volume. We find evidence of significant bidirectional nonlinear causality between returns and volume. We also examine whether the nonlinear causality from volume to
Hiemstra, Craig, Jones, Jonathan D
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Marketing Letters, 2002
Dynamic multivariate models ha e become popular in analyzing the behavior of competitive marketing systems because they are capable of incorporating all the relationships in a competitive marketing environment. In this paper we consider VAR models, the most frequently used dynamic multivariate models.
HORVATH C +2 more
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Dynamic multivariate models ha e become popular in analyzing the behavior of competitive marketing systems because they are capable of incorporating all the relationships in a competitive marketing environment. In this paper we consider VAR models, the most frequently used dynamic multivariate models.
HORVATH C +2 more
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ABAC Journal, 2023
This study examines the causal relationship between cryptocurrencies and other major world economic assets, such as gold, stocks, oil, and bonds, using both Granger causality and correlation analyses. The study focuses on the period between 2018 and 2022, using a vector autoregressive model (VAR) to analyze data on cryptocurrencies and other major ...
Umawadee Detthamrong +5 more
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This study examines the causal relationship between cryptocurrencies and other major world economic assets, such as gold, stocks, oil, and bonds, using both Granger causality and correlation analyses. The study focuses on the period between 2018 and 2022, using a vector autoregressive model (VAR) to analyze data on cryptocurrencies and other major ...
Umawadee Detthamrong +5 more
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Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: Comment
Journal of Money, Credit and Banking, 1989In a recent issue of this Journal Hall and Noble (1987) employ the Grangercausality method to test Milton Friedman's (1970) hypothesis that money growth volatility is a causal factor in changes in velocity. The background of Hall and Noble's investigation is based on (1) the controversial marked decline in M 1 velocity in 1982; and (2) the apparent ...
Brocato, Joe, Smith, Kenneth L
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Does globalization affect the insurance markets? Bootstrap panel Granger causality test
Economic Modelling, 2013Abstract This study applies the bootstrap panel Granger causality test to identify whether globalization promotes insurance activity using data from Sigma reports of the Swiss Reinsurance Company of 8 Eastern Asian countries over the period of 1979–2008.
Tsangyao Chang +3 more
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Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
Journal of Time Series Analysis, 2022Herein, we propose a novel non‐parametric frequency Granger causality test. We apply a filtering process in the time domain to remove possible spurious causality, thereby eliminating potential interference. Thereafter, in the frequency domain, we perform a local kernel regression for each frequency and test the non‐causality hypothesis from the ...
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Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests Reevaluated [PDF]
SSRN Electronic Journal, 1987 Hall and Nobel (1987) use the Granger-causality test to show that volatility influences velocity, leading them to conclude that the recent decline in the velocity of Ml is due to increased volatility of money growth which is alleged to be caused by the Federal Reserve's new operating procedures.
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How Large are the Effects of Simultaneity on Testing Granger Causality?
Jahrbücher für Nationalökonomie und Statistik, 2015Summary Interpreting Granger causality as economic causality implies that the underlying VAR model is a structural economic model. This is wrong in the case of simultaneity, and causal conclusions can be misleading. Nevertheless, the empirical relevance of this problem still needs to be determined. Therefore, the magnitude and stability
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