Constructing structural VAR models with conditional independence graphs
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Authors
Oxley, Leslie
Reale, M.
Wilson, G.
Date
2009Type
Journal Article
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Oxley, L. and Reale, M. and Wilson, G. 2009. Constructing structural VAR models with conditional independence graphs. Mathematics and Computers in Simulation. 79 (9): pp. 2910-2916.
Source Title
Mathematics and Computers in Simulation
ISSN
School
School of Economics and Finance
Collection
Abstract
In this paper graphical modelling is used to select a sparse structure for a multivariate time series model of New Zealand interest rates. In particular, we consider a recursive structural vector autoregressions that can subsequently be described parsimoniously by a directed acyclic graph, which could be given a causal interpretation. A comparison between competing models is then made by considering likelihood and economic theory. © 2008 IMACS.
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