Constructing Structural VAR Models with Conditional Independence Graphs
AbstractIn 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.
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Bibliographic InfoPaper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 08/19.
Length: 12 pages
Date of creation: 28 Nov 2008
Date of revision:
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Graphical models; directed acyclic graphs; term structure; causality.;
Other versions of this item:
- Oxley, Les & Reale, Marco & Wilson, Granville Tunnicliffe, 2009. "Constructing structural VAR models with conditional independence graphs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2910-2916.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-07 (All new papers)
- NEP-ECM-2008-12-07 (Econometrics)
- NEP-ETS-2008-12-07 (Econometric Time Series)
- NEP-MAC-2008-12-07 (Macroeconomics)
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