“…A primary goal of many functional magnetic resonance imaging (fMRI) experiments is to investigate the integration among different areas of the brain in order to explain how cognitive information is distributed and processed. Neuroscientists typically distinguish between functional connectivity, which measures the undirected associations, or temporal correlation, between the fMRI time series observed at different locations, and effective connectivity, which estimates the directed influences that one brain region exerts onto other regions (Friston, 2011;Zhang et al, 2015;Durante and Guindani, 2020). One way to model effective connectivity is via a vector auto-regression (VAR) model, a widely-employed framework for estimating temporal (Granger) casual dependence in fMRI experiments (see, e.g.…”