Constructing structural VAR models with conditional independence graphs

DOI10.1016/J.MATCOM.2008.11.013zbMATH Open1168.91489DBLPjournals/mcs/OxleyRW09OpenAlexW2044901215WikidataQ60401474 ScholiaQ60401474MaRDI QIDQ834323FDOQ834323

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

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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)

Cites Work

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

Cited In (9)

• Identification of nonlinear VAR models using general conditional independence graphs
• Title not available (Why is that?)
• Learning causal graphs of nonlinear structural vector autoregressive model using information theory criteria
• 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
• Directed acyclic graph modeling for structural vector autoregressions
• The sampling properties of conditional independence graphs forI(1) structural VAR models
• The sampling properties of conditional independence graphs for structural vector autoregressions

Uses Software

• TETRAD

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