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 |
| _version_ | 1848754122731290624 |
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| author | Oxley, Leslie Reale, M. Wilson, G. |
| author_facet | Oxley, Leslie Reale, M. Wilson, G. |
| author_sort | Oxley, Leslie |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. © 2008 IMACS. |
| first_indexed | 2025-11-14T08:35:24Z |
| format | Journal Article |
| id | curtin-20.500.11937-34072 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:35:24Z |
| publishDate | 2009 |
| publisher | Elsevier Science |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-340722018-03-29T09:08:00Z Constructing structural VAR models with conditional independence graphs Oxley, Leslie Reale, M. Wilson, G. 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. © 2008 IMACS. 2009 Journal Article http://hdl.handle.net/20.500.11937/34072 10.1016/j.matcom.2008.11.013 Elsevier Science restricted |
| spellingShingle | Oxley, Leslie Reale, M. Wilson, G. Constructing structural VAR models with conditional independence graphs |
| title | Constructing structural VAR models with conditional independence graphs |
| title_full | Constructing structural VAR models with conditional independence graphs |
| title_fullStr | Constructing structural VAR models with conditional independence graphs |
| title_full_unstemmed | Constructing structural VAR models with conditional independence graphs |
| title_short | Constructing structural VAR models with conditional independence graphs |
| title_sort | constructing structural var models with conditional independence graphs |
| url | http://hdl.handle.net/20.500.11937/34072 |