Quantifying evidence for—and against—Granger causality with Bayes factors


Testing for Granger causality relies on estimating the capacity of dynamics in one time series to forecast dynamics in another. The canonical test for such temporal predictive causality is based on fitting multivariate time series models and is cast in the classical null hypothesis testing framework. In this framework, we are limited to rejecting the null hypothesis or failing to reject the null -- we can never validly accept the null hypothesis of no Granger causality. This is poorly suited for many common purposes, including evidence integration, feature selection, and other cases where it is useful to express evidence against, rather than for, the existence of an association. Here we derive and implement the Bayes factor for Granger causality in a multilevel modeling framework. This Bayes factor summarizes information in the data in terms of a continuously scaled evidence ratio between the presence of Granger causality and its absence. We also introduce this procedure for the multilevel generalization of Granger causality testing. This facilitates inference when information is scarce or noisy or if we are interested primarily in population-level trends. We illustrate our approach with an application on exploring causal relationships in affect using a daily life study.


Oravecz, Z., & Vandekerckhove, J. (in press). Quantifying evidence for—and against—Granger causality with Bayes factors. Multivariate Behavioral Research.


    title   = {{Q}uantifying evidence for—and against—{G}ranger causality with {B}ayes factors},
    author  = {Oravecz, Zita and Vandekerckhove, Joachim},
    year    = {in press},
    journal = {Multivariate Behavioral Research}