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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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A Small Open Economy DSGE Model

31 Dec 2010 RDP 2010-02
Jarkko Jääskelä and Rebecca McKibbin
Download the Paper 280. KB. This section sketches the building blocks of the small open economy dynamic stochastic general equilibrium (DSGE) model that we estimate. ... We represent the foreign economy as an unrestricted VAR(1) of output, inflation and
https://www.rba.gov.au/publications/rdp/2010/2010-02/small-open-economy.html

Estimating the Small Open Economy Model

31 Dec 2010 RDP 2010-02
Jarkko Jääskelä and Rebecca McKibbin
Download the Paper 280. KB. We estimate the model using likelihood-based Bayesian methods. ... where: x. t. is a vector of the model variables, a subset (x.
https://www.rba.gov.au/publications/rdp/2010/2010-02/estimating-small-open-economy.html

Introduction

31 Dec 2010 RDP 2010-02
Jarkko Jääskelä and Rebecca McKibbin
A variable of particular interest is the real exchange rate. Evidence from vector autoregression (VAR) models suggests that the response of the real exchange rate to an unexpected change in monetary ... There is also some evidence that the learning model
https://www.rba.gov.au/publications/rdp/2010/2010-02/introduction.html