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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

Methodology – Estimation

31 Dec 2013 RDP 2013-06
Tim Robinson
The structure of the DSGE model places restrictions on the parameters of the VAR. ... theoretical model, rather than its posterior, and assume different prior distributions for the VAR.
https://www.rba.gov.au/publications/rdp/2013/2013-06/methodology-estimation.html

Identifying the Empirical BVAR-DSGE Model

31 Dec 2013 RDP 2013-06
Tim Robinson
The reduced-form VAR approximation to the DSGE model and its shocks u. ... can be selected to match the corresponding impulse responses from the structural VAR approximation to the DSGE model,. ,
https://www.rba.gov.au/publications/rdp/2013/2013-06/identifying-empirical-model.html

Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies

6 Jun 2013 RDP 2013-06
Tim Robinson
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2013/2013-06.html

References

31 Dec 2013 RDP 2013-06
Tim Robinson
Del Negro M and F Schorfheide (2004), ‘Priors From General Equilibrium Models for VARS’,. ... Econometric Reviews. , 3(1), pp 1–100. Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’,.
https://www.rba.gov.au/publications/rdp/2013/2013-06/references.html

Conclusions

31 Dec 2013 RDP 2013-06
Tim Robinson
Download the Paper 759. KB. BVAR-DSGE models represent a compromise between theoretically coherent DSGE models and more empirically orientated VAR models. ... consequently a better DSGE model should result in a better empirical BVAR-DSGE model.
https://www.rba.gov.au/publications/rdp/2013/2013-06/conclusions.html

Introduction

31 Dec 2013 RDP 2013-06
Tim Robinson
Another interpretation of this hybrid model is that the parameters of an unrestricted VAR are being pulled towards those of the DSGE model. ... The DSGE model is a potentially useful way of formulating a prior for a VAR.
https://www.rba.gov.au/publications/rdp/2013/2013-06/introduction.html

Empirical Application

31 Dec 2013 RDP 2013-06
Tim Robinson
The magnitude of this effect is greater in the BVAR models than in the DSGE model, and it increases with λ. ... The decline in the terms of trade predicted by the BVAR models is of a comparable magnitude to that in the DSGE model.
https://www.rba.gov.au/publications/rdp/2013/2013-06/empirical-application.html