Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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VAR Estimation Results
1 Jun 1989
RDP
8903
The two sets of results are discussed in turn. Each VAR model includes four lags of each variable. ... M1 leads nominal GDP in the 1978–88 period. Table 2 shows results for three-variable VARs, where the bill rate is included in every model.
https://www.rba.gov.au/publications/rdp/1989/8903/var-estimation-results.html
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The VAR Methodology
1 Jul 1986
RDP
8608
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8608/var-methodology.html
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Meet MARTIN, the RBA's new macroeconomic model
15 Mar 2018
Bulletin
– March 2018
suite of vector autoregression (VAR) models described in Gerard and Nimark (2008). ... Likewise, the VAR models are used to produce forecasts each quarter as an input into the forecasting process.
https://www.rba.gov.au/publications/bulletin/2018/mar/meet-martin-the-rbas-new-macroeconomic-model.html
Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Dec 2009
RDP
PDF
400KB
Many banks that use VaR models routinely perform simple comparisons of dailyprofits and losses with model-generated risk measures to gauge the accuracy of theirrisk measurement systems. ... It should be kept in mind that shortcomings in the construction
https://www.rba.gov.au/publications/rdp/1997/pdf/rdp9708.pdf
A Small BVAR-DSGE Model for Forecasting the Australian Economy
23 Sep 2008
RDP
2008-04
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-04.html
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An Empirical BVAR-DSGE Model of the Australian Economy
2 Feb 2015
RDP
PDF
657KB
3. Estimating the Models 8. 3.1 Estimating the DSGE Model 83.1.1 Estimating the large economy Minnesota VAR 83.1.2 DSGE calibration 103.1.3 DSGE posterior 12. ... 3.3 Estimating the Benchmark Models 173.3.1 The small open economy Minnesota VAR 17.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-07.pdf
Measurement with Some Theory: Using Sign Restrictions to Evaluate Business Cycle Models
3 Dec 2007
Research Workshop
PDF
444KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/canova.pdf
The Structural VAR
31 Dec 2001
RDP
2001-01
The VAR methodology specifically allows the data to suggest the best model. ... If, for example, we have estimated a VAR(3) model, the long-run cumulative effect of an innovation in u.
https://www.rba.gov.au/publications/rdp/2001/2001-01/structural-var.html
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DSGE Reno: Adding a Housing Block to a Small Open Economy Model
1 Apr 2018
RDP
2018-04
Structural VARS:. The code to estimate the structural VAR models and reproduce Figure 12 can be found in the ‘SVAR’ directory. ... Existing results are stored in VAR_model_1, VAR_model_2, VAR_model_3 and VAR_model_4. Bayesian IRFs:.
https://www.rba.gov.au/publications/rdp/2018/2018-04/read-me.html
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Oil Price Shocks, Monetary Policy and Stagflation | Conference – 2009
17 Aug 2009
Conferences
Their model included censored changes in nominal oil prices. Kilian and Vigfusson (2009) show that the impulse response estimates constructed from such censored vector autoregressive (VAR) models are inconsistent because the ... The lack of temporal
https://www.rba.gov.au/publications/confs/2009/kilian.html