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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Model and Data
31 Dec 2014
RDP
2014-11
We estimate a separate VAR for each sector of the Australian economy, as well as an aggregate model that excludes sectoral production measures. ... In the disaggregated models, our measure of aggregate output is real GDP less the gross value added of the
https://www.rba.gov.au/publications/rdp/2014/2014-11/mod-data.html
Results
31 Dec 2014
RDP
2014-11
One might wonder whether our sectoral responses, which are calculated using a separate VAR for each industry of the economy, are consistent with responses of the aggregate model. ... The response of the sectoral models appears to lag the responses of the
https://www.rba.gov.au/publications/rdp/2014/2014-11/results.html
Robustness Checks
31 Dec 2014
RDP
2014-11
Download the Paper 1.38. MB. In this section, we discuss the robustness of our results to different model specifications and across the sectoral VARs. ... Although we prefer the specification with detrended GDP as it is more consistent with standard
https://www.rba.gov.au/publications/rdp/2014/2014-11/rob-checks.html
Introduction
31 Dec 2014
RDP
2014-11
At an aggregate level, our model allows us to quantify the macroeconomic effects of exchange rate shocks. ... Voss and Willard (2009) also include an exchange rate shock in a vector autoregression (VAR) model of the Australian economy, although they do
https://www.rba.gov.au/publications/rdp/2014/2014-11/introduction.html