Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/89479 
Year of Publication: 
2005
Series/Report no.: 
LEM Working Paper Series No. 2005/14
Publisher: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
Abstract: 
In this paper we present a semi-automated search procedure to deal with the problem of the identification of the causal structure related to a vector autoregressive model. The structural form of the model is described by a directed graph and from the analysis of the partial correlations of the residuals the set of acceptable causal structures is derived.
Document Type: 
Working Paper

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