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.
- Language
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Englisch
- Bibliographic citation
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Series: LEM Working Paper Series ; No. 2005/14
- Classification
-
Wirtschaft
- Subject
-
VAR-Modell
- Event
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Geistige Schöpfung
- (who)
-
Moneta, Alessio
Spirtes, Peter
- Event
-
Veröffentlichung
- (who)
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Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
- (where)
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Pisa
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Moneta, Alessio
- Spirtes, Peter
- Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Time of origin
- 2005
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Testing for Vector Autoregressive Dynamics under Heteroskedasticity
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