Constructing structural VAR models with conditional independence graphs

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Oxley, Leslie, Reale, M., Wilson, G.
Format:	Journal Article
Published:	Elsevier Science 2009
Online Access:	http://hdl.handle.net/20.500.11937/34072

Similar Items

Further results on independence in direct-product graphs
by: Jha, P. K.
Published: (2000)

On minimum cutsets in independent domination vertex-critical graphs
by: Ananchuen, N., et al.
Published: (2018)

Extreme value modelling for forecasting market crisis impacts
by: Zhao, X., et al.
Published: (2010)

GARCH dependence in extreme value models with Bayesian inference
by: Zhao, X., et al.
Published: (2011)

Chromatically unique bipartite graphs with certain 3-independent partition numbers III
by: Hasni @ Abdullah, Roslan, et al.
Published: (2007)

Long memory or shifting means in geophysical time series?
by: Rea, W., et al.
Published: (2011)

Not all estimators are born equal: The empirical properties of some estimators of long memory
by: Rea, W., et al.
Published: (2012)

The empirical properties of some popular estimators of long memory processes
by: Rea, W., et al.
Published: (2011)

Forecasting Private-Sector Construction Works: VAR Model Using Economic Indicators
by: Sing, M., et al.
Published: (2015)

Evaluation of the Predictive Ability of VaR Models during Different Market Conditions.
by: Liew, KeiYan
Published: (2014)

The chromaticity of s-bridge graphs and related graphs
by: Xu, Shaoji, et al.
Published: (1994)

Stationary waves on nonlinear quantum graphs. II. Application of canonical perturbation theory in basic graph structures
by: Gnutzmann, Sven, et al.
Published: (2016)

Macroeconomics shocks and stability in Malaysian banking system; a structural VAR model
by: Alizadeh Janvisloo, Mohammadreza, et al.
Published: (2013)

Tolerable Constructive Graph-Based Hyper-Heuristic Algorithm For Examination Timetabling
by: Mohammad Pour, Shahrzad
Published: (2009)

Constructing an ontology-based and graph-based knowledge representation of English Quran
by: Noordin, Mohamad Fauzan, et al.
Published: (2016)

Backtesting in VaR Models of Bitcoins
by: Shen, Jiadi
Published: (2018)

Skewness Of Graphs
by: Tan, Chung Yueh
Published: (2020)

Semantic and Topological Patent Graphs: Analysis of Retrieval and Community Structure
by: Rattinger, A., et al.
Published: (2018)

The disc structures of commuting involution graphs for certain simple groups
by: Mohd Kasim, Suzila, et al.
Published: (2019)

Legacy Model Reconfiguration Using Graph-Theoretic
by: Azween, Abdullah
Published: (2008)

Legacy Model Reconfiguration Using Graph-Theoretic
by: Azween, Abdullah
Published: (2008)

The One Universal Graph – a Free and Open Graph Database
by: Ng Liang, Shing, et al.
Published: (2015)

Epidemics on random intersection graphs
by: Ball, Frank G., et al.
Published: (2014)

Cardioid graph based ECG biometric in varying physiological conditions using compressed QRS
by: Mohd Azam, Siti Nurfarah Ain, et al.
Published: (2020)

Empirical Research on Relationships Between Marginal-VaR, Component-VaR and Incremental-VaR
by: Li, Kai
Published: (2013)

Ownership structure, independent chair and firm performance
by: Mohd. Saat, Nur Ashikin, et al.
Published: (2014)

Money and inflation in a nonlinear model
by: George, D., et al.
Published: (2008)

Improving Question Answering over Knowledge Graphs using Graph Summarization
by: Li, Sirui, et al.
Published: (2021)

Emotion graph models for bipedal walk cycle animation
by: Abdul Rahman, Ayub, et al.
Published: (2016)

Graph-induced restricted Boltzmann machines for document modeling
by: Nguyen, T., et al.
Published: (2016)

"What came first-Wellbeing or sustainability?" A systematic analysis of the multi-dimensional literature using advanced topic modelling methods
by: Qasim, M., et al.
Published: (2015)

Unlinked Embedded Graphs
by: Barrett, John W.
Published: (2000)

Knots Verses Graphs
by: Azram, Mohammad
Published: (2011)

Achirality via graphs
by: Azram, Mohammad
Published: (2010)

Equivalence of dual graphs
by: Azram, Mohammad
Published: (2013)

Equivalence of dual graphs
by: Azram, Mohammad
Published: (2013)

Achirality via graphs
by: Azram, Mohammad
Published: (2010)

Planar Graphs And Coloring
by: Manogaran, Lavaneesvari
Published: (2010)

Component-based modeling of PEM fuel cells with bond graphs
by: Vasilyev, A., et al.
Published: (2017)

Irregular total labeling on complete bipartite graph and union complete bipartite graphs
by: Daoud, Jamal Ibrahim, et al.
Published: (2010)