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| Title: | Constructing Structural VAR Models with Conditional Independence Graphs |
| Authors: | Oxley, L.
Reale, M.
Tunnicliffe Wilson, G. |
| Keywords: | graphical models
directed acyclic graphs
term structure
causality |
| Issue Date: | 2008 |
| Citation: | Oxley, L., Reale, M., Tunnicliffe Wilson, G. (2008) Constructing Structural VAR Models with Conditional Independence Graphs. University of Canterbury. 12pp.. |
| Source: | http://www.econ.canterbury.ac.nz/research/pdf/0819.pdf |
| 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. |
| Publisher: | Department of Economics
University of Canterbury. Economics.
University of Canterbury. Mathematics and Statistics. |
| Description: | RePEc Working Papers Series: No: 19/2008 |
| Research Fields: | Fields of Research::340000 Economics::340400 Econometrics::340402 Econometric and statistical methods
Fields of Research::340000 Economics::340200 Applied Economics::340203 Finance economics |
| URI: | http://hdl.handle.net/10092/2078 |
| Rights URI: | http://library.canterbury.ac.nz/ir/rights.shtml |
| Appears in Collections: | Working Papers
Working Papers
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