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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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1 READ ME FILE Paper title: DSGE Reno: Adding ...

3 Apr 2018 RDP PDF 328KB
Structural VARS:. The code to estimate the structural VAR models and reproduce Figure 12 can be found in the ‘SVAR’. ... 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/rdp-2018-04-read-me.pdf

Cost-benefit Analysis of Leaning against the Wind

5 Jul 2019 RDP PDF 1512KB
unemployment rate taken from, for example, a structural macroeconomic model. A quadratic loss. ... 2 per cent over a two to four year period, depending on the model.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-05.pdf

Forecasting Australian Economic Activity Using Leadership Indicators

1 Dec 2009 RDP PDF 338KB
Althoughnot uniform across all forecast horizons, generally the simple AR(p) model withtrend performs at least as well as the VAR models. ... At all horizons,both the single variable model and the VAR models with index perform roughlythe same.
https://www.rba.gov.au/publications/rdp/2000/pdf/rdp2000-02.pdf

Forecasting Australian Economic Activity Using Leading Indicators

1 Apr 2000 RDP 2000-02
Andrea Brischetto and Graham Voss
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2000/2000-02.html
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Financial Stability Review - March 2006

28 Mar 2006 FSR - March 2006 PDF 645KB
https://www.rba.gov.au/publications/fsr/2006/mar/pdf/0306.pdf

The Role of International Shocks in Australia’s Business Cycle

2 Dec 2009 RDP PDF 372KB
the Beveridge-Nelsondecomposition and a structural VAR model is identified using robust signrestrictions derived from a small open economy model. ... The small openeconomy assumption is imposed on the VAR model by restricting the impact ofdomestic
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-08.pdf

References

19 Dec 2023 RDP 2023-09
Place: A Macroeconometric Model of the Australian Economy’, RBA Research Discussion Paper No 2019-07. ... Plagborg-Møller M and CK Wolf (2021), ‘Local Projections and VARs Estimate the Same Impulse Responses’, Econometrica, 89(2), pp 955-980.
https://www.rba.gov.au/publications/rdp/2023/2023-09/references.html

References

1 Dec 1999 RDP 1999-11
Andrea Brischetto and Graham Voss
Bagliano, F.C. and C.A. Favero (1997), ‘Measuring Monetary Policy with VAR Models: An Evaluation’, CEPR Discussion Paper No. ... 9214. Robertson, J.C. and E.W. Tallman (1999), ‘Prior Parameter Uncertainty: Some Implications for Forecasting and
https://www.rba.gov.au/publications/rdp/1999/1999-11/references.html
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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
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Firms’ Price-setting Behaviour: Insights from Earnings Calls

6 Nov 2023 RDP PDF 1677KB
transformer-based large language model. We show the new indices track current economic. ... other industries. This underscores the importance of continuing to develop rich multisector models.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-06.pdf