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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
Josef Manalo, Dilhan Perera and Daniel Rees
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
Josef Manalo, Dilhan Perera and Daniel Rees
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
Josef Manalo, Dilhan Perera and Daniel Rees
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
Josef Manalo, Dilhan Perera and Daniel Rees
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