Constructing Structural VAR Models with Conditional Independence Graphs

Les Oxley, Marco Reale and Granville Tunnicliffe Wilson

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

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.

Keywords: Graphical models; directed acyclic graphs; term structure; causality. (search for similar items in EconPapers)
JEL-codes: C01 C32 E43 E44 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2008-11-28
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Journal Article: Constructing structural VAR models with conditional independence graphs (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:08/19

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