Identification of vector AR models with recursive structural errors using conditional independence graphs

Statistical Methods and Applications

Volumn 10, Issue 1-3, 2001, Pages 49-65

  Reale, Marco ^a   Wilson, Granville Tunnicliffe ^b  

^a UNIVERSITY OF CANTERBURY   (New Zealand)

^b LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Causality; Graphical modelling; Lending channel; Moralization; Partial correlation

Indexed keywords

EID: 0345800447     PISSN: 16182510     EISSN: 1613981X     Source Type: Journal    
DOI: 10.1007/BF02511639     Document Type: Article

References (24)

1. Akaike H (1973) A new look at statistical model identification. IEEE Transactions on Automatic Control AC-19, 716-723
2. Anderson TW (1971) The statistical analysis of time series. Wiley, New York
3. Bagliano FC, Favero AC (1998) II canale del credito della politica monetaria. II caso Italia. In: Vaciago G (ed.) Moneta e Finanza. II Mulino, Bologna
4. Bernanke BS, Blinder AS (1988) Credit, money and aggregate demand. American Economic Review: Papers and Proceedings 78, 435-439
5. Box GEP, Jenkins GM (1976) Time series analysis, forecasting and control. Holden-Day, Oakland
6. Box GEP, Tiao GC (1977) A canonical analysis of multiple time series. Biometrika 64, 355-365
7. Buttiglione L, Ferri G (1994) Monetary policy transmission via lending rates in Italy: any lessons from recent experience? Temi di Discussione 224, 3-40
8. Greene WH (1993) Econometric analysis. Prentice-Hall, Englewood Cliffs
9. Hannan EJ, Quinn BG (1979) The determination of the order of an autoregression. Journal of the Royal Statistical Society Series B 41, 190-195
10. Hosking, JRM (1980) The Multivariate Portmanteau statistic. Journal of the Amererican Statistical Association 75, 602-608
11. Judge GO, Griffiths WE, Hill RC, Lütkepohl H, Lee, TC (1985) The theory and practice of econometrics. Wiley, New York
12. Kashyap AK, Stein JC (1993) Monetary policy and bank lending. NBER Working Paper 4317
13. Lauritzen SL, Spiegelhalter DJ (1988) Local computations with probabilities on graphical structures and their applications to expert systems. Journal of the Royal Statistical Society Series B 50, 157-224
14. Priestley MB (1994) Spectral analysis and time series. Academic Press, London
15. Reale M, Tunnicliffe Wilson G (2002) The sampling properties of conditional graphs for structural vector autoregressions. Biometrika (to appear)
16. Reinsel GC (1993) Elements of multivariate time series analysis. Springer, Berlin Heidelberg New York
17. Schwarz G (1978) Estimating the dimension of a model. The Annals of Statistics 6, 461-464
18. Spirtes P, Glymour C, Scheines R (1993) Causation, prediction and search. Springer, Berlin Heidelberg New York
19. Swanson NR, Granger CWJ (1997) Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions. Journal of the American Statistical Association 92, 357-367
20. Swanson NR, White H (1995) A model-selection approach to assessing the information in the term structure using linear models and artificial neural networks. Journal of Business and Economic Statistics 13, 265-275
21. Tiao GC, Tsay RS (1989) Model specification in multivariate time series. Journal of the Royal Statistical Society Series B 51, 157-213
22. Tunnicliffe Wilson G (1992) Structural models for structural change. Quaderni di Statistica e Econometria 14, 63-77
23. Whittaker JC (1990) Graphical models in applied multivariate statistics. Wiley, Chichester
24. Zellner A, Palm F (1974) Time series analysis and simultaneous equation econometric models. Journal of Econometrics 2, 17-54