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Searching for the causal structure of a vector autoregression

Authors :
Demiralp, Selva
Hoover, Kevin D.
Source :
Oxford Bulletin of Economics & Statistics. Dec 15, 2003, Vol. 65, p745, 24 p.
Publication Year :
2003

Abstract

The authors demonstrate the application of graph-theoretic techniques to choosing the structural vector autoregression causal order. These techniques are used in a Monte Carlo situation; findings show they are useful tools in structural vector autoregression analysis.

Subjects

Subjects :
Econometric models
Regression analysis -- Methods
Autoregression (Statistics) -- Methods
Graph theory -- Usage
Graph theory -- Methods
Business
Business, international
Economics

Details

Language :
English
ISSN :
03059049
Volume :
65
Database :
Gale General OneFile
Journal :
Oxford Bulletin of Economics & Statistics
Publication Type :
Academic Journal
Accession number :
edsgcl.111346702

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