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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Start Spreading the News: News Sentiment and Economic Activity in Australia

23 Dec 2020 RDP 2020-08
Kim Nguyen and Gianni La Cava
7. Robustness Tests and Extensions. We test for the robustness of estimated impulse responses in Section 5.2 using a multivariate VAR model which includes the current and lags of change ... Similarly, we run a VAR model to estimate the impulse responses
https://www.rba.gov.au/publications/rdp/2020/2020-08/full.html

Robustness Tests and Extensions

23 Dec 2020 RDP 2020-08
Kim Nguyen and Gianni La Cava
Download the Paper 1.48. MB. We test for the robustness of estimated impulse responses in Section 5.2 using a multivariate VAR model which includes the current and lags of ... Similarly, we run a VAR model to estimate the impulse responses to a news
https://www.rba.gov.au/publications/rdp/2020/2020-08/robustness-tests-and-extensions.html

Read me

23 Dec 2020 RDP 2020-08
Kim Nguyen and Gianni La Cava
using Shapiro, Sudhof and Wilson (2017)'s fixed effect model. using Machine Learning. ... robustness_VAR.do – this code produces the VAR impulse responses presented in Section 7.3 and Appendix B.
https://www.rba.gov.au/publications/rdp/2020/2020-08/read-me.html

News Sentiment and the Economy

23 Dec 2020 RDP 2020-08
Kim Nguyen and Gianni La Cava
This is similar to the standard vector autoregression (VAR) approach but less restrictive. ... i. is the consumer sentiment index. We choose four lags for the weekly model and two lags for the monthly model, as suggested by a combination of information
https://www.rba.gov.au/publications/rdp/2020/2020-08/news-sentiment-and-the-economy-identification.html