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|Title: ||Constructing Structural VAR Models with Conditional Independence Graphs|
|Authors: ||Oxley, L.|
Tunnicliffe Wilson, G.
|Keywords: ||graphical models|
directed acyclic graphs
|Issue Date: ||2008|
|Citation: ||Oxley, L., Reale, M., Tunnicliffe Wilson, G. (2008) Constructing Structural VAR Models with Conditional Independence Graphs. University of Canterbury. 12pp..|
|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
|Rights URI: ||http://library.canterbury.ac.nz/ir/rights.shtml|
|Appears in Collections:||Working Papers|
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