Constructing Structural VAR Models with Conditional Independence Graphs

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dc.contributor.authorOxley, L.
dc.contributor.authorReale, M.
dc.contributor.authorTunnicliffe Wilson, G.
dc.date.accessioned2009-02-03T02:12:47Z
dc.date.available2009-02-03T02:12:47Z
dc.date.issued2008en
dc.descriptionRePEc Working Papers Series: No: 19/2008en
dc.description.abstractIn 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.en
dc.identifier.citationOxley, L., Reale, M., Tunnicliffe Wilson, G. (2008) Constructing Structural VAR Models with Conditional Independence Graphs. University of Canterbury. 12pp..en
dc.identifier.urihttp://hdl.handle.net/10092/2078
dc.language.isoen
dc.publisherDepartment of Economicsen
dc.publisherUniversity of Canterbury. Economics.en
dc.publisherUniversity of Canterbury. Mathematics and Statistics.en
dc.relation.urihttp://www.econ.canterbury.ac.nz/research/pdf/0819.pdfen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectgraphical modelsen
dc.subjectdirected acyclic graphsen
dc.subjectterm structureen
dc.subjectcausalityen
dc.subject.marsdenFields of Research::340000 Economics::340400 Econometrics::340402 Econometric and statistical methodsen
dc.subject.marsdenFields of Research::340000 Economics::340200 Applied Economics::340203 Finance economicsen
dc.titleConstructing Structural VAR Models with Conditional Independence Graphsen
dc.typeDiscussion / Working Papers
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