Testing for Granger Causality in the Frequency Domain: A Phase Resampling Method

Siwei Liu, Peter Molenaar

Research output: Contribution to journalArticle

14 Scopus citations

Abstract

This 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 the frequency domain is challenging due to the nonlinear relation between frequency domain measures (e.g., partial directed coherence, generalized partial directed coherence) and time domain data. Through a simulation study, we demonstrate that phase resampling is a general and robust method for making statistical inferences even with short time series. With Gaussian data, phase resampling yields satisfactory type I and type II error rates in all but one condition we examine: when a small effect size is combined with an insufficient number of data points. Violations of normality lead to slightly higher error rates but are mostly within acceptable ranges. We illustrate the utility of phase resampling with two empirical examples involving multivariate electroencephalography (EEG) and skin conductance data.

Original languageEnglish (US)
Pages (from-to)53-66
Number of pages14
JournalMultivariate Behavioral Research
Volume51
Issue number1
DOIs
StatePublished - Jan 2 2016

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Experimental and Cognitive Psychology
  • Arts and Humanities (miscellaneous)

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