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Please use this identifier to cite or link to this item: http://hdl.handle.net/10092/2078

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
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:Engineering: Working Papers
Business and Law: Working Papers

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