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.