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

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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The sampling properties of conditional independence graphs for structural vector autoregressions. / Tunnicliffe Wilson, Granville; Reale, Marco.
In: Biometrika, Vol. 89, No. 2, 06.2002, p. 457-461.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Tunnicliffe Wilson, G & Reale, M 2002, 'The sampling properties of conditional independence graphs for structural vector autoregressions.', Biometrika, vol. 89, no. 2, pp. 457-461. https://doi.org/10.1093/biomet/89.2.457

APA

Tunnicliffe Wilson, G., & Reale, M. (2002). The sampling properties of conditional independence graphs for structural vector autoregressions. Biometrika, 89(2), 457-461. https://doi.org/10.1093/biomet/89.2.457

Vancouver

Tunnicliffe Wilson G, Reale M. The sampling properties of conditional independence graphs for structural vector autoregressions. Biometrika. 2002 Jun;89(2):457-461. doi: 10.1093/biomet/89.2.457

Author

Tunnicliffe Wilson, Granville ; Reale, Marco. / The sampling properties of conditional independence graphs for structural vector autoregressions. In: Biometrika. 2002 ; Vol. 89, No. 2. pp. 457-461.

Bibtex

@article{20310b2c489b474a9a2e8e5ac28a8ef6,
title = "The sampling properties of conditional independence graphs for structural vector autoregressions.",
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.",
keywords = "Causality, Moralisation, Partial correlation",
author = "{Tunnicliffe Wilson}, Granville and Marco Reale",
note = "RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research",
year = "2002",
month = jun,
doi = "10.1093/biomet/89.2.457",
language = "English",
volume = "89",
pages = "457--461",
journal = "Biometrika",
issn = "1464-3510",
publisher = "Oxford University Press",
number = "2",

}

RIS

TY - JOUR

T1 - The sampling properties of conditional independence graphs for structural vector autoregressions.

AU - Tunnicliffe Wilson, Granville

AU - Reale, Marco

N1 - RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research

PY - 2002/6

Y1 - 2002/6

N2 - 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.

AB - 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.

KW - Causality

KW - Moralisation

KW - Partial correlation

U2 - 10.1093/biomet/89.2.457

DO - 10.1093/biomet/89.2.457

M3 - Journal article

VL - 89

SP - 457

EP - 461

JO - Biometrika

JF - Biometrika

SN - 1464-3510

IS - 2

ER -