Constructing structural VAR models with conditional independence graphs

DOI10.1016/j.matcom.2008.11.013zbMath1168.91489OpenAlexW2044901215WikidataQ60401474 ScholiaQ60401474MaRDI QIDQ834323

Marco Reale, Granville Tunnicliffe Wilson, Les Oxley

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.11.013

zbMATH Keywords

causalityterm structuregraphical modelsdirected acyclic graphs

Mathematics Subject Classification ID

Parametric inference (62F99) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items

Learning causal graphs of nonlinear structural vector autoregressive model using information theory criteria

Uses Software

• TETRAD

Cites Work

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• A new look at the statistical model identification