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 considering likelihood and economic theory.

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Year of publication:	2008-11-28
Authors:	Oxley, Les ; Reale, Marco ; Wilson, Granville Tunnicliffe
Institutions:	Department of Economics and Finance, College of Business and Economics
Subject:	Graphical models \| directed acyclic graphs \| term structure \| causality

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Extent:	application/pdf
Series:	Working Papers in Economics.
Type of publication:	Book / Working Paper
Language:	English
Notes:	12 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; C01 - Econometrics ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005190252