Bertsche, Dominik; Brüggemann, Ralf; Kascha, Christian - In: Journal of Time Series Analysis 44 (2022) 2, pp. 223-246
We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so‐called strongly connected components. Using this graphical representation, we consider the problem of variable choice. We use the relations among...