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 ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and ...

After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...

A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...