Constructing structural VAR models with conditional independence graphs
نویسندگان
چکیده
منابع مشابه
Constructing structural VAR models with conditional independence graphs
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 consid...
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ژورنال
عنوان ژورنال: Mathematics and Computers in Simulation
سال: 2009
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2008.11.013