Constructing structural VAR models with conditional independence graphs

DOI10.1016/J.MATCOM.2008.11.013MaRDI QIDQ834323zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Les Oxley, Marco Reale, G. Tunnicliffe Wilson

Publication date 19 August 2009

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2008.11.013

zbMATH Keywords

graphical modelsterm structurecausalitydirected acyclic graphs

Mathematics Subject Classification ID

Parametric inference (62F99) Statistical methods; economic indices and measures (91B82) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites work

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• A new look at the statistical model identification
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Causal inference from graphical models
• Causation, prediction, and search
• Chain Graph Models and their Causal Interpretations
• Estimating the dimension of a model
• Identification of vector AR models with recursive structural errors using conditional independence graphs
• Markov fields and log-linear interaction models for contingency tables
• The sampling properties of conditional independence graphs for structural vector autoregressions
• The sampling properties of conditional independence graphs forI(1) structural VAR models

Cited in

(11)

• Identification of nonlinear VAR models using general conditional independence graphs
• Learning causal graphs of nonlinear structural vector autoregressive model using information theory criteria
• scientific article; zbMATH DE number 2060193 (Why is no real title available?)
• Codependent VAR models and the pseudo-structural form
• Decomposability and selection of graphical models for multivariate time series
• Identification of vector AR models with recursive structural errors using conditional independence graphs
• On constrained estimation of graphical time series models
• Directed acyclic graph modeling for structural vector autoregressions
• The sampling properties of conditional independence graphs forI(1) structural VAR models
• Structural learning of contemporaneous dependencies in graphical VAR models
• The sampling properties of conditional independence graphs for structural vector autoregressions

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Uses Software

• TETRAD

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