Search results for "causality"
showing 10 items of 258 documents
Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR
2020
In this paper, we extend the monthly financial stress index for Lithuania, computed by the European Central Bank, to a daily frequency and we also include banking sector stress among its constituents, beyond bond, equity and foreign exchange markets. We investigate the causal relationship between the daily financial stress index and monthly industrial production growth, using a Granger causality test applied to a mixed-frequency VAR. Our results suggest evidence of Granger causality from financial stress to industrial production growth once the index is enriched by daily observations from the financial markets. Our findings, based on impulse response analysis, confirm the negative effect of…
Study Design in Causal Models
2014
The causal assumptions, the study design and the data are the elements required for scientific inference in empirical research. The research is adequately communicated only if all of these elements and their relations are described precisely. Causal models with design describe the study design and the missing-data mechanism together with the causal structure and allow the direct application of causal calculus in the estimation of the causal effects. The flow of the study is visualized by ordering the nodes of the causal diagram in two dimensions by their causal order and the time of the observation. Conclusions on whether a causal or observational relationship can be estimated from the coll…
Multiscale Granger causality
2017
In the study of complex physical and biological systems represented by multivariate stochastic processes, an issue of great relevance is the description of the system dynamics spanning multiple temporal scales. While methods to assess the dynamic complexity of individual processes at different time scales are well-established, multiscale analysis of directed interactions has never been formalized theoretically, and empirical evaluations are complicated by practical issues such as filtering and downsampling. Here we extend the very popular measure of Granger causality (GC), a prominent tool for assessing directed lagged interactions between joint processes, to quantify information transfer a…
Identifying Causal Effects with the R Package causaleffect
2017
Do-calculus is concerned with estimating the interventional distribution of an action from the observed joint probability distribution of the variables in a given causal structure. All identifiable causal effects can be derived using the rules of do-calculus, but the rules themselves do not give any direct indication whether the effect in question is identifiable or not. Shpitser and Pearl constructed an algorithm for identifying joint interventional distributions in causal models, which contain unobserved variables and induce directed acyclic graphs. This algorithm can be seen as a repeated application of the rules of do-calculus and known properties of probabilities, and it ultimately eit…
Conclusion: University Ambiguities and Analytic Eclecticism
2018
This volume has examined six cases of university engagement in peripheral regions. While these regions have often been overlooked in the mainstream literature on university-region dynamics because they do not readily offer up success stories, they do facilitate an exploration into the challenges and difficulties that arise at the intersection of the university and region. Beginning with a theory rooted in institutionalist literature that depicts the university as a set of five ambiguities rather than as a coherent whole, the chapters have sought to apply the ambiguities of intention, causality, history, structure, and meaning to their regional context. In this conclusion, we pull together a…
FROM PRODUCER TO CONSUMER – RELATIONS BETWEEN PRICES OF SELECTED PRODUCTS ON THE AGRI-FOOD MARKET
2019
The food supply chain is characterized by a large diversity of entities comprising it, combining actions taken by individual links, starting with the producer on the consumer. The primary goal of the smooth functioning of the food supply chain is to ensure satisfaction of buyers, while profiting by companies participating in the flow of products. The primary aim of the efficient functioning of the food supply chain is to ensure satisfaction of buyers, while profiting by companies participating in the flow of products. Changes occurring in agricultural production, often cyclical, are transferred to individual links in the supply chain. This phenomenon is visible in changes in the level of pr…
Information-theoretic assessment of cardiovascular variability during postural and mental stress
2016
This study was aimed at investigating the individual and combined effects of postural and mental stress on short-term cardiovascular regulation. To this end, we applied measures taken from the emerging framework of information dynamics on the beat-to-beat spontaneous variability of RR interval and systolic arterial pressure (SAP) measured from healthy subjects in the resting supine position and during the separate and simultaneous execution of experimental protocols performing head-up tilt (HUT) and mental arithmetics (MA). The information stored in RR interval variability, a measure inversely related to the complexity of the time series, increased significantly during HUT and HUT+MA compar…
An identifiable model to assess frequency-domain Granger causality in the presence of significant instantaneous interactions
2010
We present a new approach for the investigation of Granger causality in the frequency domain by means of the partial directed coherence (PDC). The approach is based on the utilization of an extended multivariate autoregressive (MVAR) model, including instantaneous effects in addition to the lagged effects traditionally studied, to fit the observed multiple time series prior to PDC computation. Model identification is performed combining standard MVAR coefficient estimation with a recent technique for instantaneous causal modeling based on independent component analysis. The approach is first validated on simulated MVAR processes showing that, in the presence of instantaneous effects, only t…
A new framework for the time- and frequency-domain assessment of high-order interactions in networks of random processes
2022
While the standard network description of complex systems is based on quantifying the link between pairs of system units, higher-order interactions (HOIs) involving three or more units often play a major role in governing the collective network behavior. This work introduces a new approach to quantify pairwise and HOIs for multivariate rhythmic processes interacting across multiple time scales. We define the so-called O-information rate (OIR) as a new metric to assess HOIs for multivariate time series, and present a framework to decompose the OIR into measures quantifying Granger-causal and instantaneous influences, as well as to expand all measures in the frequency domain. The framework ex…
Methods for evaluating causality in observational studies.
2019
BACKGROUND: In clinical medical research, causality is demonstrated by randomized controlled trials (RCTs). Often, however, an RCT cannot be conducted for ethical reasons, and sometimes for practical reasons as well. In such cases, knowledge can be derived from an observational study instead. In this article, we present two methods that have not been widely used in medical research to date. METHODS: The methods of assessing causal inferences in observational studies are described on the basis of publications retrieved by a selective literature search. RESULTS: Two relatively new approaches—regression-discontinuity methods and interrupted time series—can be used to demonstrate a causal relat…