Constructing structural VAR models with conditional independence graphs

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.

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Year of publication:	2009
Authors:	Oxley, Les ; Reale, Marco ; Wilson, Granville Tunnicliffe
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 79.2009, 9, p. 2910-2916
Publisher:	Elsevier
Subject:	Graphical models \| Directed acyclic graphs \| Term structure \| Causality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010749271