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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Forecasting Australian Economic Activity Using Leading Indicators

1 Apr 2000 RDP 2000-02
Andrea Brischetto and Graham Voss
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2000/2000-02.html

Conclusion

31 Dec 2000 RDP 2000-02
Andrea Brischetto and Graham Voss
As a secondary concern, we also compare the forecasts for real GDP from the simple two variable VAR models with a single equation model of Australian GDP presented in Gruen and ... Generally, the VAR models do not perform as well as the GS equation.
https://www.rba.gov.au/publications/rdp/2000/2000-02/conclusion.html

Results

31 Dec 2000 RDP 2000-02
Andrea Brischetto and Graham Voss
At all horizons, both the single variable model and the VAR models with index perform roughly the same. ... At all forecast horizons, the GS model using either actual values or consensus forecasts of US GDP for forecasting outperforms the VAR models.
https://www.rba.gov.au/publications/rdp/2000/2000-02/results.html

Introduction

31 Dec 2000 RDP 2000-02
Andrea Brischetto and Graham Voss
To do this in a transparent and systematic manner, we consider two variable VAR models consisting of a leading index and a measure of activity. ... For example, Summers (1998) uses the WM index in a large Bayesian VAR model.
https://www.rba.gov.au/publications/rdp/2000/2000-02/introduction.html

Appendix C: Forecast Error Variance Decompositions

31 Dec 2000 RDP 2000-02
Andrea Brischetto and Graham Voss
Innovation. Forecast. (quarters). Proportion of forecast error variance for GDP. (Differenced model with 8 lags). ... Differenced model with 14 lags). WM. NATSTAT. Leading index. 1. 0.00.
https://www.rba.gov.au/publications/rdp/2000/2000-02/appendix-c.html