Constructing structural VAR models with conditional independence graphs
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 cou...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier Science
2009
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| Online Access: | http://hdl.handle.net/20.500.11937/34072 |