Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
Search Results
Model
23 Nov 2016
RDP
2016-08
Like other canonical models of the US economy, such as that in Smets and Wouters (2007), this model features a neoclassical core augmented by shocks and frictions that help to explain ... In the model, the growth rate of TFP, z. t. , follows the
https://www.rba.gov.au/publications/rdp/2016/2016-08/model.html
See 15 more results from "RDP 2016-08"
Modelling the Role of Credit Frictions in the Australian Economy
31 Dec 2012
RDP
2012-02
A non-recursive identification scheme is used in this paper. 4.2 Model Specification. ... The logs of major trading partner GDP, Australian GNE, Australian GDP and business credit are detrended using a deterministic trend before entering the structural
https://www.rba.gov.au/publications/rdp/2012/2012-02/modelling-role-credit-frictions-aus-economy.html
See 9 more results from "RDP 2012-02"
A Sectoral Model of the Australian Economy
16 May 2008
RDP
2008-01
We deal with this in our sensitivity analysis by comparing the results from our baseline model to those from models estimated over two shorter sub-samples. ... Correct specification of the model also requires the inclusion of the appropriate number of
https://www.rba.gov.au/publications/rdp/2008/2008-01/sec-aus-economy.html
See 10 more results from "RDP 2008-01"
A Multi-sector Model of the Australian Economy
14 May 2015
RDP
PDF
1314KB
The model extends previousDSGE models of the Australian economy by incorporating multiple productionsectors, including a resource sector. ... structural VAR model of Dungey andPagan (2009).
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-07.pdf
Value at Risk: On the Stability and Forecasting of the Variance-covariance Matrix
1 May 1999
RDP
1999-04
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1999/1999-04.html
See 8 more results from "RDP 1999-04"
https://www.rba.gov.au/publications/rdp/2015/2015-14/additional-files/okun_update.prg
25 Feb 2020
RDP
series d2lrulc = 400 (lrulc-lrulc(-2))/2 '===================== ' CONSTANT COEFFICIENTS MODEL '===================== smpl %estsd %ested coef(4) c1 equation okuneq1.ls(cov=white) dur = c1(2)dur(-1) c1(3)(d2lgdp-c1(1)) ... c1(4)d2lrulc(-2) 'Model 1 'show
https://www.rba.gov.au/publications/rdp/2015/2015-14/additional-files/okun_update.prg
Labour Market Adjustment: Evidence on Interstate Labour Mobility
1 Dec 2009
RDP
PDF
313KB
In this section we address this issue using a VAR model of the state labour markets that incorporates information on state employment, unemployment and participation rates. ... generated from the VAR model.
https://www.rba.gov.au/publications/rdp/1998/pdf/rdp9801.pdf
References
31 Dec 2007
RDP
2007-07
RDP 2007-07: More Potent Monetary Policy? Insights from a Threshold Model References. ... Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342.
https://www.rba.gov.au/publications/rdp/2007/2007-07/reference.html
See 10 more results from "RDP 2007-07"
Indicators of Economic Activity: A Review
18 Apr 2007
RDP
PDF
383KB
Table 7: VAR Models for Dwelling Investment. Model 1 Dwelling Approvals Investment. ... Table 11: VAR Model for Consumption Growth (four lags). Con. RT CS MVR.
https://www.rba.gov.au/publications/rdp/1991/pdf/rdp9102.pdf
Firms' Price-setting Behaviour: Insights from Earnings Calls
11 Sep 2023
RDP
2023-06
CPI inflation. 0.59 (earnings calls lead). Note: (a) Bivariate vector autoregressions (VARs) of the form:. ... The models do not perform as well when classifying paragraphs into the future tense.
https://www.rba.gov.au/publications/rdp/2023/2023-06/full.html
See 10 more results from "RDP 2023-06"