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The paper considers the use of directed acyclic graphs (DAGs), and their construction from observational data with PCalgorithm TETRAD II, in providing overidentifying restrictions on the innovations from a vector autoregression. Results from Sims’ 1986 model of the US economy are replicated and compared using these datadriven techniques. The directed graph results show Sims’ sixvariable 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’ theorybased model for unemployment, differences are noted for the other five variables: income, money supply, price... 
Tipo: Journal Article 
Palavraschave: Vector autoregression; Directed graphs; Policy analysis; Research Methods/ Statistical Methods; C1; E1. 
Ano: 2003 
URL: http://purl.umn.edu/44001 
 


