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- Title
The sampling properties of conditional independence graphs for I(1) structural VAR models.
- Authors
WILSON, GRANVILLE TUNNICLIFFE; REALE, MARCO
- Abstract
Structural vector autoregressions allow dependence among contemporaneous variables. If such models have a recursive structure, the relationships among the variables can be represented by directed acyclic graphs. The identification of these relationships for stationary series may be enabled by the examination of the conditional independence graph constructed from sample partial autocorrelations of the observed series. In this article, we extend this approach to the case when the series follows an I(1) vector autoregression. For such a model, estimated regression coefficients may have non-standard asymptotic distributions and in small samples this affects the distribution of sample partial autocorrelations. We show that, nevertheless, in large samples, exactly the same inference procedures may be applied as in the stationary case.
- Subjects
MATHEMATICAL models; DISTRIBUTION (Probability theory); ASYMPTOTIC distribution; ESTIMATION theory; MATHEMATICAL statistics
- Publication
Journal of Time Series Analysis, 2008, Vol 29, Issue 5, p802
- ISSN
0143-9782
- Publication type
Article
- DOI
10.1111/j.1467-9892.2008.00583.x