Constructing structural VAR models with conditional independence graphs. (English) Zbl 1168.91489
Summary: 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.
MSC:
| 91B82 | Statistical methods; economic indices and measures |
| 91B74 | Economic models of real-world systems (e.g., electricity markets, etc.) |
| 62F99 | Parametric inference |
Software:
TETRADReferences:
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