The remainder of the output from this example is the same as that in Figure 8.3 and Figure 8.4, and it is not repeated here. The stepwise autoregressive process is performed using the Yule-Walker ...

For each country, we estimate a vector autoregression that includes fiscal and macroeconomic variables. Retrospectively, a historical decomposition shows by how much debt accumulation reflects ...

The derivatives with respect to the parameter vector ... See Example 8.3 later in this chapter, which fits a linear trend to a sine wave. For ULS or ML estimation, the joint variance-covariance matrix ...