Graphical Models for Structural Vector Autoregressions
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- Alessio Moneta & Peter Spirtes, 2005. "Graph-Based Search Procedure for Vector Autoregressive Models," LEM Papers Series 2005/14, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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More about this item
KeywordsCausality; Directed Acyclic Graphs; Identification Problem; Residuals Orthogonalization; Impulse Response Functions.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-04 (All new papers)
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