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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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VAR Estimation Results

1 Jun 1989 RDP 8903
Glenn Stevens and Susan Thorp
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

The External Sector

1 Jun 1989 RDP 8903
Glenn Stevens and Susan Thorp
This section uses VAR models to look at some of these channels. ... The second set of VAR models includes exports instead of GDP.
https://www.rba.gov.au/publications/rdp/1989/8903/external-sector.html

Appendix B: Tests using Alternative Data

1 Jun 1989 RDP 8903
Glenn Stevens and Susan Thorp
Table B1: VAR Tests of Financial Indicators and Gross Domestic Product. ... If so, these series should arguably be detrended as well as differenced before use in VAR models.
https://www.rba.gov.au/publications/rdp/1989/8903/appendix-b.html

The Relationship between Financial Indicators and Economic Activity: Some Further Evidence

1 Jun 1989 RDP 8903
Glenn Stevens and Susan Thorp
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1989/8903.html

Data

1 Jun 1989 RDP 8903
Glenn Stevens and Susan Thorp
Most series must be made stationary, usually by detrending or differencing, before reliable econometric models can be estimated and tests conducted. ... Applying conventional asymptotic theory to this type of model would clearly give misleading results.
https://www.rba.gov.au/publications/rdp/1989/8903/data.html