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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia

1 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
n. are functions of the underlying model parameters (see Appendix A for further details). ... We use VAR estimates of the P parameters as starting points for this optimisation.
https://www.rba.gov.au/publications/rdp/2018/2018-02/full.html

The Model

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
It is a joint model of the nominal and real term structures of interest rates. ... n. are functions of the underlying model parameters (see Appendix A for further details).
https://www.rba.gov.au/publications/rdp/2018/2018-02/the-model.html

Data and Estimation

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
We use VAR estimates of the P parameters as starting points for this optimisation. ... Malik and Meldrum (2016) find that models that instead impose a unit root tend to perform poorly.
https://www.rba.gov.au/publications/rdp/2018/2018-02/data-and-estimation.html