The sampling properties of conditional independence graphs for structural vector autoregressions

Marco Reale

Biometrika, 2002, vol. 89, issue 2, 457-461

Abstract: Structural vector autoregressions allow contemporaneous series dependence and assume errors with no contemporaneous correlation. Models of this form, that also have a recursive structure, can be described by a directed acyclic graph. An important tool for identification of these models is the conditional independence graph constructed from the contemporaneous and lagged values of the process. We determine the large-sample properties of statistics used to test for the presence of links in this graph. A simple example illustrates how these results may be applied. Copyright Biometrika Trust 2002, Oxford University Press.

Date: 2002
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