Granger Causality Testing with Intensive Longitudinal Data

Granger Causality Testing with Intensive Longitudinal Data The availability of intensive longitudinal data obtained by means of ambulatory assessment opens up new prospects for preven- tion research in that it allows the derivation of subject-specific dynamic networks of interacting variables by means of vector autoregressive (VAR) modeling. The dynamic networks thus obtained can be subjected to Granger causality testing in order to identify causal relations among the observed time-dependent variables. VARs have two equivalent representations: standard and structural. Results obtained with Granger causality testing depend upon which representation is chosen, yet no criteria exist on which this important choice can be based. A new equivalent representation is introduced called hybrid VARs with which the best representation can be chosen in a data-driven way. Partial directed coherence, a frequency-domain statistic for Granger causality testing, is shown to perform optimally when based on hybrid VARs. An application to real data is provided. . . . . Keywords Granger causality Standard VAR Structural VAR Hybrid VAR Partial directed coherence The increased use of ambulatory assessment (Trull and Ebner- (Molenaar 2004). Only if a process obeys strict criteria does Priemer 2013) gives rise to new possibilities to carry out pre- there exist a relation between results obtained in analyses of http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Prevention Science Springer Journals

Granger Causality Testing with Intensive Longitudinal Data

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Publisher
Springer Journals
Copyright
Copyright © 2018 by Society for Prevention Research
Subject
Medicine & Public Health; Public Health; Health Psychology; Child and School Psychology
ISSN
1389-4986
eISSN
1573-6695
D.O.I.
10.1007/s11121-018-0919-0
Publisher site
See Article on Publisher Site

Abstract

The availability of intensive longitudinal data obtained by means of ambulatory assessment opens up new prospects for preven- tion research in that it allows the derivation of subject-specific dynamic networks of interacting variables by means of vector autoregressive (VAR) modeling. The dynamic networks thus obtained can be subjected to Granger causality testing in order to identify causal relations among the observed time-dependent variables. VARs have two equivalent representations: standard and structural. Results obtained with Granger causality testing depend upon which representation is chosen, yet no criteria exist on which this important choice can be based. A new equivalent representation is introduced called hybrid VARs with which the best representation can be chosen in a data-driven way. Partial directed coherence, a frequency-domain statistic for Granger causality testing, is shown to perform optimally when based on hybrid VARs. An application to real data is provided. . . . . Keywords Granger causality Standard VAR Structural VAR Hybrid VAR Partial directed coherence The increased use of ambulatory assessment (Trull and Ebner- (Molenaar 2004). Only if a process obeys strict criteria does Priemer 2013) gives rise to new possibilities to carry out pre- there exist a relation between results obtained in analyses of

Journal

Prevention ScienceSpringer Journals

Published: Jun 1, 2018

References

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