Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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The FRB/US Model
10 Dec 2014
RDP
2014-02
I use the FRB/US model of the US economy, one of the main macroeconometric models used at the Federal Reserve Board of Governors. ... More important, Coenen et al (2012, FigureĀ 7) find that FRB/US multipliers are similar to those of recent DSGE models,
https://www.rba.gov.au/publications/rdp/2014/2014-02/model.html
Expectations
10 Dec 2014
RDP
2014-02
I have assumed that agents base their expectations on small-scale VARs rather than on the full model. ... VAR expectations. Model-consistent expectations. Government purchases. 0.99. 0.94. Reduction in personal tax receipts.
https://www.rba.gov.au/publications/rdp/2014/2014-02/expectations.html
The Effect of Fiscal Stimulus
12 Dec 2014
RDP
2014-02
Whereas Reifschneider and Williams use a linearised version of the model with model-based expectations, I use the nonlinear form with VAR expectations. ... I use the 2010 vintage of the model, in which most equations, including VAR-based expectations,
https://www.rba.gov.au/publications/rdp/2014/2014-02/effect-fiscal-stimulus.html