Re-examining Granger Causality with Causal Bayesian Networks and Reichenbachs Principles

S. A. Adedayo

Papers from arXiv.org

Abstract: Granger causality (GC) is widely used to infer directed relationships in time-series data. However, its predictive criterion does not by itself distinguish direct causal effects from dependencies induced by common causes, indirect paths, collider conditioning, or model misspecification. We revisit this limitation by interpreting bivariate and multivariate GC through causal Bayesian networks and Reichenbachs common cause principles. Under explicit graphical assumptions, bivariate GC provides a marginal dependence check, while multivariate GC tests whether the same association persists after conditioning on relevant histories. This view motivates causalised Granger causality (c-GC), which combines the two decisions, and c-GC*, a more conservative variant with a richer conditioning set. We validate both methods on synthetic dynamical systems, established time-series causal discovery benchmarks, Sachs protein-signalling data, and Lorenz-96 simulations. The results show that the proposed criteria recover plausible causal structure in settings with delayed effects, cycles, bidirectional links, and nonlinear or noisy dynamics. The framework clarifies how GC-style inference can be given a causal interpretation without treating temporal prediction alone as sufficient evidence of causation.

Date: 2025-01, Revised 2026-07
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://arxiv.org/pdf/2501.02672 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2501.02672

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().