Constructing structural VAR models with conditional independence graphs

DOI10.1016/j.matcom.2008.11.013zbMath1168.91489WikidataQ60401474 ScholiaQ60401474MaRDI QIDQ834323

Les Oxley, Marco Reale, Granville 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

causality; term structure; graphical models; directed acyclic graphs

Mathematics Subject Classification ID

62F99: Parametric inference

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)

91B82: Statistical methods; economic indices and measures

Related Items

Learning causal graphs of nonlinear structural vector autoregressive model using information theory criteria

Uses Software

• TETRAD

Cites Work

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• A new look at the statistical model identification