Constructing structural VAR models with conditional independence graphs
| dc.contributor.author | Oxley, Leslie | |
| dc.contributor.author | Reale, M. | |
| dc.contributor.author | Wilson, G. | |
| dc.date.accessioned | 2017-01-30T13:41:06Z | |
| dc.date.available | 2017-01-30T13:41:06Z | |
| dc.date.created | 2016-09-12T08:37:06Z | |
| dc.date.issued | 2009 | |
| dc.identifier.citation | 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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/34072 | |
| dc.identifier.doi | 10.1016/j.matcom.2008.11.013 | |
| dc.description.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. | |
| dc.publisher | Elsevier Science | |
| dc.title | Constructing structural VAR models with conditional independence graphs | |
| dc.type | Journal Article | |
| dcterms.source.volume | 79 | |
| dcterms.source.number | 9 | |
| dcterms.source.startPage | 2910 | |
| dcterms.source.endPage | 2916 | |
| dcterms.source.issn | 0378-4754 | |
| dcterms.source.title | Mathematics and Computers in Simulation | |
| curtin.department | School of Economics and Finance | |
| curtin.accessStatus | Fulltext not available |
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