Figure 8.9: Stepwise Autoregression The estimates of the autocorrelations are shown for 5 lags. The backward elimination of autoregressive terms report shows that the autoregressive parameters at lags ...

Daniel Felix Ahelegbey, Monica Billio, Roberto Casarin, Sparse Graphical Vector Autoregression: A Bayesian Approach, Annals of Economics and Statistics, No. 123/124, SPECIAL ISSUE ON RECENT ...

This paper examines the sustainability of fiscal policy under uncertainty in three emerging market countries, Brazil, Mexico, and Turkey. For each country, we estimate a vector autoregression (VAR) ...

This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...

ABSTRACT. Using the generalized value-at-risk method of Diebold and Yilmaz in their 2009 paper "Measuring financial asset return and volatility spillovers, with application to global equity markets" ...

Probabilistic Sustainability of Public Debt: A Vector Autoregression Approach for Brazil, Mexico, and Turkey Evan Tanner and Issouf Samake Full Text of this Article (PDF 776Kb). Link to data and ...