Tunnicliffe Wilson, Granville and Reale, Marco (2002) The sampling properties of conditional independence graphs for structural vector autoregressions. Biometrika, 89 (2). pp. 457-461. ISSN 1464-3510
Full text not available from this repository.Abstract
Structural vector autoregressions allow contemporaneous series dependence and assume errors with no contemporaneous correlation. Models of this form, that also have a recursive structure, can be described by a directed acyclic graph.An important tool for identification of these models is the conditional independence graph constructed from the contemporaneous and lagged values of the process. We determine the large-sample properties of statistics used to test for the presence of links in this graph. A simple example illustrates how these results may be applied.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Biometrika |
| Additional Information: | RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research |
| Uncontrolled Keywords: | Causality ; Moralisation ; Partial correlation |
| Subjects: | Q Science > QA Mathematics |
| Departments: | Faculty of Science and Technology > Mathematics and Statistics |
| ID Code: | 2447 |
| Deposited By: | ep_importer |
| Deposited On: | 29 Mar 2008 16:34 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 16:25 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/2447 |
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