Frequency Domain Repercussions of Instantaneous Granger Causality

Using Directed Transfer Function (DTF) and Partial Directed Coherence (PDC) in their information version, this paper extends their theoretical framework to incorporate instantaneous Granger Causality (iGC)’s frequency domain description into a single unified perspective. We show that standard vector autoregressive models allow portraying iGC’s repercussions associated with Granger Connectivity where interactions mediated without delay between time series can be easily detected.