Search: VAR models

Sort by: Relevance Date
1–3 of 3 collapsed search results for VAR models
Did you mean varmodels?

RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

The FRB/US Model

10 Dec 2014 RDP 2014-02
Peter Tulip
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, Figure 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
Peter Tulip
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
Peter Tulip
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