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Awokuse, Titus O.; Bessler, David A.. |
The paper considers the use of directed acyclic graphs (DAGs), and their construction from observational data with PC-algorithm TETRAD II, in providing over-identifying restrictions on the innovations from a vector autoregression. Results from Sims’ 1986 model of the US economy are replicated and compared using these data-driven techniques. The directed graph results show Sims’ six-variable VAR is not rich enough to provide an unambiguous ordering at usual levels of statistical significance. A significance level in the neighborhood of 30 % is required to find a clear structural ordering. Although the DAG results are in agreement with Sims’ theory-based model for unemployment, differences are noted for the other five variables: income, money supply, price... |
Tipo: Journal Article |
Palavras-chave: Vector autoregression; Directed graphs; Policy analysis; Research Methods/ Statistical Methods; C1; E1. |
Ano: 2003 |
URL: http://purl.umn.edu/44001 |
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