In this paper, we investigate the use of partial correlation analysis for the identification of functional neural connectivity from simultaneously recorded neural spike trains. Partial correlation analysis allows one to distinguish between direct and indirect connectivities by removing the portion of the relationship between two neural spike trains that can be attributed to linear relationships with recorded spike trains from other neurons. As an alternative to the common frequency domain approach based on the partial spectral coherence we propose a new statistic in the time domain. The new scaled partial covariance density provides additional information on the direction and the type, excitatory or inhibitory, of the connectivities. In simulation studies, we investigated the power and limitations of the new statistic. The simulations show that the detectability of various connectivity patterns depends on various parameters such as connectivity strength and background activity. In particular, the detectability decreases with the number of neurons included in the analysis and increases with the recording time. Further, we show that the method can also be used to detect multiple direct connectivities between two neurons. Finally, the methods of this paper are illustrated by an application to neurophysiological data from spinal dorsal horn neurons.