Constructing Structural VAR Models with Conditional Independence Graphs

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Author
Oxley, L.
Reale, M.
Tunnicliffe Wilson, G.
Date
2008Permanent Link
http://hdl.handle.net/10092/2078In 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.