Constructing Structural VAR Models with Conditional Independence Graphs
Type of content
Discussion / Working Papers
UC permalink
Publisher's DOI/URI
Thesis discipline
Degree name
Publisher
Department of Economics
University of Canterbury. Economics.
University of Canterbury. Mathematics and Statistics.
University of Canterbury. Economics.
University of Canterbury. Mathematics and Statistics.
Journal Title
Journal ISSN
Volume Title
Language
Date
2008
Authors
Oxley, L.
Reale, M.
Tunnicliffe Wilson, G.
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.
Description
RePEc Working Papers Series: No: 19/2008
Citation
Oxley, L., Reale, M., Tunnicliffe Wilson, G. (2008) Constructing Structural VAR Models with Conditional Independence Graphs. University of Canterbury. 12pp..
Keywords
graphical models, directed acyclic graphs, term structure, causality