Granger causality is designed to measure effect, not mechanism

@inproceedings{Barrett2013GrangerCI,
  title={Granger causality is designed to measure effect, not mechanism},
  author={Adam B. Barrett and Lionel C. Barnett},
  booktitle={Front. Neuroinform.},
  year={2013}
}
In their recent paper, Hu et al. (2011) make the claim that Granger causality (GC) does not capture how strongly one time series influences another. Given the sizeable literature on GC, this claim could be considered radical. We examined this claim, and found that it is based essentially on semantics. Hu et al. (2011) would like a measure of causal interaction to explicitly quantify an underlying causal mechanism, and point out that GC values do not consistently reflect the relative sizes of… CONTINUE READING
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Barrett and Barnett. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction

  • Front. Neuroinform
  • 2013

The decomposition and measurement of the interdependency between second - order stationary processes

  • Y. Hosoya
  • Probab . Theory Relat . Field
  • 1991
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