Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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A Small BVAR-DSGE Model for Forecasting the Australian Economy
23 Sep 2008
RDP
2008-04
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-04.html
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Estimating the Models
31 Dec 2013
RDP
2013-07
Consequently, the SOE Minnesota VAR is a natural benchmark for the BVECMX model. ... The main way the SOE Minnesota VAR differs from the BVECMX model is in the parameters of the prior.
https://www.rba.gov.au/publications/rdp/2013/2013-07/estimating-models.html
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DSGE Reno: Adding a Housing Block to a Small Open Economy Model
1 Apr 2018
RDP
2018-04
Structural VARS:. The code to estimate the structural VAR models and reproduce Figure 12 can be found in the ‘SVAR’ directory. ... Existing results are stored in VAR_model_1, VAR_model_2, VAR_model_3 and VAR_model_4. Bayesian IRFs:.
https://www.rba.gov.au/publications/rdp/2018/2018-04/read-me.html
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The VAR Methodology
1 Jul 1986
RDP
8608
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8608/var-methodology.html
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Estimation and Solution of Models with Expectations and Structural Changes
19 Dec 2012
RDP
2012-08
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2012/2012-08.html
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VAR Estimation Results
1 Jun 1989
RDP
8903
The two sets of results are discussed in turn. Each VAR model includes four lags of each variable. ... M1 leads nominal GDP in the 1978–88 period. Table 2 shows results for three-variable VARs, where the bill rate is included in every model.
https://www.rba.gov.au/publications/rdp/1989/8903/var-estimation-results.html
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The Structural VAR
31 Dec 2001
RDP
2001-01
The VAR methodology specifically allows the data to suggest the best model. ... If, for example, we have estimated a VAR(3) model, the long-run cumulative effect of an innovation in u.
https://www.rba.gov.au/publications/rdp/2001/2001-01/structural-var.html
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The VAR Methodology
1 May 1986
RDP
8604
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8604/var-methodology.html
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The Dynamics of the Estimated Model
1 Jun 2015
RDP
2015-07
Using a structural VAR model, Manalo, Perera and Rees (in progress) find quantitatively similar results to us. ... In contrast, VAR models of the Australian economy typically attribute a larger share of macroeconomic volatility to foreign disturbances
https://www.rba.gov.au/publications/rdp/2015/2015-07/dynamics-estimated-model.html
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Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 Apr 2023
RDP
2023-04
model the future path of interest rates and premia based on data on yields. ... Our baseline VAR is estimated (using ordinary least squares) at a monthly frequency.
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html
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