The sampling properties of conditional independence graphs forI(1) structural VAR models
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Publication:3552851
DOI10.1111/j.1467-9892.2008.00583.xzbMath1198.62113WikidataQ60401490 ScholiaQ60401490MaRDI QIDQ3552851
Marco Reale, Granville Tunnicliffe Wilson
Publication date: 22 April 2010
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00583.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
05C90: Applications of graph theory
05C20: Directed graphs (digraphs), tournaments
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Cites Work
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- Identification of vector AR models with recursive structural errors using conditional independence graphs
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
- The sampling properties of conditional independence graphs for structural vector autoregressions