Search: VAR models
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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
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
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
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
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
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