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 1464-3510Full text not available from this repository.
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.
|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|
|Deposited On:||29 Mar 2008 16:34|
|Last Modified:||18 Mar 2016 01:08|
Actions (login required)