The sampling properties of conditional independence graphs forI(1) structural VAR models

DOI10.1111/J.1467-9892.2008.00583.XMaRDI QIDQ3552851zbMATH OpenOpenAlexWikidataFDO

Authors G. Tunnicliffe Wilson, Marco Reale

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

zbMATH Keywords

multivariate time seriesconditional independence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of graph theory (05C90) Directed graphs (digraphs), tournaments (05C20)

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Cites work

• scientific article; zbMATH DE number 2060212 (Why is no real title available?)
• scientific article; zbMATH DE number 4121482 (Why is no real title available?)
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Identification of vector AR models with recursive structural errors using conditional independence graphs
• 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

Cited in

(5)

• Identification of nonlinear VAR models using general conditional independence graphs
• Constructing structural VAR models with conditional independence graphs
• Identification of vector AR models with recursive structural errors using conditional independence graphs
• Directed acyclic graph modeling for structural vector autoregressions
• The sampling properties of conditional independence graphs for structural vector autoregressions

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