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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions

11 Oct 2022 RDP 2022-04
Matthew Read
3.1 Identified sets for impulse responses to unit shocks. The model is. ... model, which implies that this equation can be interpreted as a supply curve and.
https://www.rba.gov.au/publications/rdp/2022/2022-04/full.html

References

11 Oct 2022 RDP 2022-04
Matthew Read
Hamilton JD (1994), Time Series Analysis, Princeton University Press, Princeton. Inoue A and L Kilian (2022), ‘The Role of the Prior in Estimating VAR Models with Sign Restrictions’, Unpublished Manuscript, 4 ... Kilian L and DP Murphy (2012), ‘Why
https://www.rba.gov.au/publications/rdp/2022/2022-04/references.html

Framework

11 Oct 2022 RDP 2022-04
Matthew Read
is normally distributed with mean zero and identity variance-covariance matrix. The ‘orthogonal reduced form’ of the model is:. ... Σ. t. r. is the lower-triangular Cholesky factor of the variance-covariance matrix of the reduced-form VAR innovations
https://www.rba.gov.au/publications/rdp/2022/2022-04/framework.html

Introduction

11 Oct 2022 RDP 2022-04
Matthew Read
However, there are well-documented problems with the standard approach to Bayesian inference in set-identified models. ... In particular, because the model is set identified, the likelihood function is flat with respect to certain parameters.
https://www.rba.gov.au/publications/rdp/2022/2022-04/introduction.html

Appendix B: Proofs of Propositions

11 Oct 2022 RDP 2022-04
Matthew Read
Φ. such that the infinite-order vector moving average representation of the VAR exists; this will be the case if the eigenvalues of the companion matrix lie inside the unit circle
https://www.rba.gov.au/publications/rdp/2022/2022-04/appendix-b.html

The Effects of a 100 Basis Point Federal Funds Rate Shock

11 Oct 2022 RDP 2022-04
Matthew Read
The model's endogenous variables are real GDP (GDP. t. ), the GDP deflator (GDPDEF. ... The narrative restrictions are functions of the data through the reduced-form VAR innovations that enter the restrictions (i.e.
https://www.rba.gov.au/publications/rdp/2022/2022-04/the-effects-of-a-100-basis-point-federal-funds-rate-shock.html

Checking for Unboundedness in SVARs

11 Oct 2022 RDP 2022-04
Matthew Read
To give an example, consider extending the bivariate model of Section 3 to allow for dynamics:. ... As a simple example of applying Proposition 4.2, consider the bivariate model of Section 3.
https://www.rba.gov.au/publications/rdp/2022/2022-04/checking-for-unboundedness-in-svars.html