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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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The VAR Method

1 Nov 1990 RDP 9009
Jerome Fahrer and Lynne-Ellen Shori
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy 3. ... VARs were popularized by Sims (1980), as a reaction to what he saw as the “incredible” restrictions necessary to identify structural models.
https://www.rba.gov.au/publications/rdp/1990/9009/var-method.html

An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy

1 Nov 1990 RDP 9009
Jerome Fahrer and Lynne-Ellen Shari
Research Discussion Paper – RDP 9009 An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy.
https://www.rba.gov.au/publications/rdp/1990/9009/

Results

1 Nov 1990 RDP 9009
Jerome Fahrer and Lynne-Ellen Shori
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy 4. ... The unrestricted VAR takes the form Y = (B AD)X, where D is a matrix of dummy variables, [d.
https://www.rba.gov.au/publications/rdp/1990/9009/results.html

References

1 Nov 1990 RDP 9009
Jerome Fahrer and Lynne-Ellen Shori
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy References. ... Keating, John W (1990), “Identifying VAR Models Under Rational Expectations”, Journal of Monetary Economics, 25(3), 453–476, June.
https://www.rba.gov.au/publications/rdp/1990/9009/references.html

Introduction

1 Nov 1990 RDP 9009
Jerome Fahrer and Lynne-Ellen Shori
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy 1. ... One is to attempt to build structural models in which exchange rates and interest rates (including policy instruments) are determined endogenously.
https://www.rba.gov.au/publications/rdp/1990/9009/introduction.html