Graph-based search procedure for vector autoregressive models

In this paper we present a semi-automated search procedure to deal with the problem of the identification of the causal structure related to a vector autoregressive model. The structural form of the model is described by a directed graph and from the analysis of the partial correlations of the residuals the set of acceptable causal structures is derived.

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Year of publication:	2005
Authors:	Moneta, Alessio ; Spirtes, Peter
Publisher:	Pisa : Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Subject:	VAR-Modell

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Series:	LEM Working Paper Series ; 2005/14
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	499993926 [GVK] hdl:10419/89479 [Handle] RePEc:ssa:lemwps:2005/14 [RePEc]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010328566