Constructing structural VAR models with conditional independence graphs

Les Oxley, Marco Reale and Granville Tunnicliffe Wilson

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 79, issue 9, 2910-2916

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)
Date: 2009
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Citations: View citations in EconPapers (8)

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Working Paper: Constructing Structural VAR Models with Conditional Independence Graphs (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:79:y:2009:i:9:p:2910-2916

DOI: 10.1016/j.matcom.2008.11.013

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