Arbeitspapier
Graph-based search procedure for vector autoregressive models
In this paper we present a semi-automated search procedure to deal with the problem of the identification of the causal structure related to a vector autoregressive model. The structural form of the model is described by a directed graph and from the analysis of the partial correlations of the residuals the set of acceptable causal structures is derived.
- Sprache
-
Englisch
- Erschienen in
-
Series: LEM Working Paper Series ; No. 2005/14
- Klassifikation
-
Wirtschaft
- Thema
-
VAR-Modell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Moneta, Alessio
Spirtes, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
- (wo)
-
Pisa
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Moneta, Alessio
- Spirtes, Peter
- Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Entstanden
- 2005
Ähnliche Objekte (12)
Vector Autoregressive Analysis
Vector autoregressive analysis
Generalized binary vector autoregressive processes
Stationary threshold vector autoregressive models
Generalized binary vector autoregressive processes
In search of Q: results on identification in structural vector autoregressive models
Panel vector autoregressive models: a survey
Regime-switching global vector autoregressive models
Testing for Vector Autoregressive Dynamics under Heteroskedasticity
Testing Rational Expectations in Vector Autoregressive Models
Optimal Hedging with the Vector Autoregressive Model
Testing for vector autoregressive dynamics under heteroskedasticity
Vector Autoregressive Analysis
Vector autoregressive analysis
Generalized binary vector autoregressive processes
Stationary threshold vector autoregressive models
Generalized binary vector autoregressive processes
In search of Q: results on identification in structural vector autoregressive models
Panel vector autoregressive models: a survey
Regime-switching global vector autoregressive models
Testing for Vector Autoregressive Dynamics under Heteroskedasticity
Testing Rational Expectations in Vector Autoregressive Models
Optimal Hedging with the Vector Autoregressive Model
Testing for vector autoregressive dynamics under heteroskedasticity
Vector Autoregressive Analysis
Vector autoregressive analysis
Generalized binary vector autoregressive processes
Stationary threshold vector autoregressive models
Generalized binary vector autoregressive processes
In search of Q: results on identification in structural vector autoregressive models
Panel vector autoregressive models: a survey
Regime-switching global vector autoregressive models
Testing for Vector Autoregressive Dynamics under Heteroskedasticity
Testing Rational Expectations in Vector Autoregressive Models
Optimal Hedging with the Vector Autoregressive Model