Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies
6 Jun 2013
RDP
2013-06
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2013/2013-06.html
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Appendix B: VAR Results and Sensitivity Analysis
1 Feb 1998
RDP
9801
Download the Paper 314. KB. The two tables below present summarised results from the two VAR models in Section 5 of the paper. ... 0.09. These models were then subject to a range of sensitivity tests to examine the robustness of conclusions from the VAR
https://www.rba.gov.au/publications/rdp/1998/1998-01/appendix-b.html
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A Factor Model Analysis of the Effects of Inflation Targeting on the Australian Economy | Conference – 2018
12 Apr 2018
Conferences
For identification of monetary policy shocks, we follow Bernanke, Boivin and Eliasz (2005) and use estimated loadings to relate the full panel to a three-variable structural vector autoregressive (VAR) model ... The model uses factor loadings to relate
https://www.rba.gov.au/publications/confs/2018/hartigan-morley.html
Sign-restricted VAR Results
18 Dec 2008
RDP
2008-08
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 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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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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Appendix E: What Does the Empirical VAR Capture?
31 Dec 2013
RDP
2013-10
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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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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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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