Identification of vector AR models with recursive structural errors using conditional independence graphs

DOI10.1007/BF02511639zbMath1154.62368OpenAlexW2100856877WikidataQ60401513 ScholiaQ60401513MaRDI QIDQ998881

Marco Reale, Granville Tunnicliffe Wilson

Publication date: 30 January 2009

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02511639

zbMATH Keywords

causalitypartial correlationgraphical modellinglending channelmoralization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of graph theory (05C90)

Related Items

Constructing structural VAR models with conditional independence graphs ⋮ Conditional independence graph for nonlinear time series and its application to international financial markets ⋮ Causal inference with multiple time series: principles and problems ⋮ Graphical modelling of multivariate time series ⋮ The sampling properties of conditional independence graphs forI(1) structural VAR models ⋮ Testing nonparametric and semiparametric hypotheses in vector stationary processes ⋮ Identification of nonlinear VAR models using general conditional independence graphs ⋮ Bayesian learning of graphical vector autoregressions with unequal lag-lengths ⋮ Atmospheric $$\hbox {CO}_2$$ and Global Temperatures: The Strength and Nature of Their Dependence ⋮ Effective transfer entropy to measure information flows in credit markets

Uses Software

• TETRAD

Cites Work

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• Causation, prediction, and search
• Estimating the dimension of a model
• Time series analysis and simultaneous equation econometric models
• The Multivariate Portmanteau Statistic
• A canonical analysis of multiple time series
• 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
• Elements of multivariate time series analysis
• A new look at the statistical model identification

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