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The sampling properties of conditional independence graphs for structural vector autoregressions.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
<mark>Journal publication date</mark>06/2002
<mark>Journal</mark>Biometrika
Issue number2
Volume89
Number of pages5
Pages (from-to)457-461
Publication StatusPublished
<mark>Original language</mark>English

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.

Bibliographic note

RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research