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 ...

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) ...

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 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 ...