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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Deriving Implied Time-variation in DSGE Coefficients from a Kernel-estimated TVP-VAR

13 Dec 2012 Research Workshop PDF 2123KB
Reserve Bank of Australia Workshop 2012
https://www.rba.gov.au/publications/workshops/research/2012/pdf/theodoridis.pdf

Combining Forecast Densities from VARs with Uncertain Instabilities

4 Dec 2007 Research Workshop PDF 194KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/vahey-nicolaisen.pdf

Estimating the Models

31 Dec 2013 RDP 2013-07
Sean Langcake and Tim Robinson
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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Sign-restricted VAR Results

18 Dec 2008 RDP 2008-08
Philip Liu
13.5. 5.4. 44.6. 2.0. Looking at the variance decomposition of the shocks identified by the sign-restricted VAR model reveals some important differences (Table 4). ... To check the robustness of these results, the sign-restricted VAR model is
https://www.rba.gov.au/publications/rdp/2008/2008-08/sig-res-results.html
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Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies

2 Feb 2015 RDP PDF 759KB
Dynamicstochastic general equilibrium (DSGE) models place greater emphasis on theory,while vector autoregression (VAR) models tend to provide a better fit of the data.Del Negro and Schorfheide (2004) develop a ... method of using a DSGE model toinform
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-06.pdf

Appendix E: What Does the Empirical VAR Capture?

31 Dec 2013 RDP 2013-10
Patricia Gómez-González and Daniel Rees
To do this, we compare impulse responses from our empirical VAR estimated using simulated data to the impulse responses to exogenous terms of trade volatility shocks generated by our model. ... Despite its linear structure, the VAR comes extremely close
https://www.rba.gov.au/publications/rdp/2013/2013-10/appendix-e.html
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Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE

7 Jan 2024 RDP PDF 1715KB
macroeconomic models. For example, many models, including Woodford (2005), model investment. ... local projection model using (log) aggregate real non-mining investment (gross fixed capital.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-09.pdf

Incorporating judgement with DSGE models

13 Dec 2007 Research Workshop PDF 198KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/binning.pdf

A Small BVAR-DSGE Model for Forecasting the Australian Economy

10 Feb 2009 RDP PDF 599KB
VAR. The forecasting performance of themodel is competitive with benchmark models such as a Minnesota VAR and anindependently estimated DSGE model. ... 2. prior.3 While the Minnesota prior has aided the forecasting ability of VAR models,it is a purely
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-04.pdf

VAR Estimation Results

1 Jun 1989 RDP 8903
Glenn Stevens and Susan Thorp
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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