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    Constructing Structural VAR Models with Conditional Independence Graphs

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    12611471_Oxley.pdf (177.5Kb)
    Author
    Oxley, L.
    Reale, M.
    Tunnicliffe Wilson, G.
    Date
    2008
    Permanent Link
    http://hdl.handle.net/10092/2078

    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.

    Subjects
    graphical models
     
    directed acyclic graphs
     
    term structure
     
    causality
     
    Fields of Research::340000 Economics::340400 Econometrics::340402 Econometric and statistical methods
     
    Fields of Research::340000 Economics::340200 Applied Economics::340203 Finance economics
    Collections
    • Engineering: Working Papers [24]
    • Business and Law: Working Papers [180]
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