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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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A Factor Model Analysis of the Effects of Inflation Targeting on the Australian Economy
10 Feb 2020
Conferences
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1902KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018-hartigan-morley.pdf
Measuring Core Inflation in Australia with Disaggregate Ensembles
10 May 2010
Conferences
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289KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/ravazzolo-vahey.pdf
Inflation in an Era of Relative Price Shocks: Proceedings of a Conference
12 May 2010
Conferences
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2491KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/conf-vol-2009.pdf
Measuring Core Inflation in Australia with Disaggregate Ensembles | Conference – 2009
17 Aug 2009
Conferences
Wallis (2005) uses opinion pools to average (model free) survey forecasts, rather than those from macroeconometric models. ... Andersson MK and S Karlsson (2007), ‘Bayesian Forecast Combination for VAR Models’, Sveriges Riksbank Working Paper No 216.
https://www.rba.gov.au/publications/confs/2009/ravazzolo-vahey.html
Financial-asset Prices and Monetary Policy: Theory and Evidence
7 Dec 2006
Conferences
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536KB
RBA Conference Volume 1997
https://www.rba.gov.au/publications/confs/1997/pdf/smets.pdf
Discussion | Conference – 2009
17 Aug 2009
Conferences
Consequently, they re-estimate the VAR models and examine whether there are differences in impulses between the two sample periods. ... This raised a concern that the parameter estimates of the VAR model may be compromised by the lack of sample data.
https://www.rba.gov.au/publications/confs/2009/baumeister-peersman-vanrobays-disc.html
Monetary Policy and Financial Stability in a World of Low Interest Rates
18 Dec 2017
Conferences
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8052KB
RBA Conference Volume 2017
https://www.rba.gov.au/publications/confs/2017/pdf/rba-conference-volume-2017.pdf
The Debate on Alternatives for Monetary Policy in Australia
7 Dec 2006
Conferences
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85KB
RBA Conference Volume 1997
https://www.rba.gov.au/publications/confs/1997/pdf/edey.pdf
Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis
13 Dec 2011
Conferences
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8780KB
RBA Conference Volume 2011
https://www.rba.gov.au/publications/confs/2011/pdf/bayoumi-bui.pdf
Business Cycle Dynamics in OECD Countries: Evidence, Causes and Policy Implications | Conference – 2005
11 Jul 2005
Conferences
An alternative, but somewhat related, approach is semi-structural, such as Kalman filters or structural VAR models as developed by Blanchard and Quah (1989). ... model with alternative calibrations to replicate economic structures in the US and the euro
https://www.rba.gov.au/publications/confs/2005/cotis-coppel.html