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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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A Panel VAR

31 Dec 2012 RDP 2012-01
Hugo Gerard
Download the Paper 814. KB. The panel VAR model outlined below largely follows Canova et al (2007) and Canova and Ciccarelli (2009). ... A panel VAR represents an extension of a standard dynamic panel data model to incorporate a vector of variables.
https://www.rba.gov.au/publications/rdp/2012/2012-01/panel.html

Appendix A: The Panel VAR

31 Dec 2012 RDP 2012-01
Hugo Gerard
i,t. , then Equation (A2) below represents a panel VAR model:. ... Bayesian methods were used to estimate the panel VAR. Equation (A7) represents the seemingly unrelated regression (SUR) form of the model:.
https://www.rba.gov.au/publications/rdp/2012/2012-01/appendix-a.html

Co-movement in Inflation

4 Apr 2012 RDP 2012-01
Hugo Gerard
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2012/2012-01.html

Results

31 Dec 2012 RDP 2012-01
Hugo Gerard
Download the Paper 814. KB. This section presents the key results from the panel VAR model. ... A number of different specifications of the panel VAR model outlined above were estimated to check the robustness of the results.
https://www.rba.gov.au/publications/rdp/2012/2012-01/results.html

Conclusion

31 Dec 2012 RDP 2012-01
Hugo Gerard
Download the Paper 814. KB. This paper has presented a panel VAR model for the G7 economies that allows for rich interactions between countries and variables while maintaining a parsimonious model ... structure. Following Canova et al (2007) and Canova
https://www.rba.gov.au/publications/rdp/2012/2012-01/conclusion.html

Introduction

31 Dec 2012 RDP 2012-01
Hugo Gerard
This paper investigates the topic of co-movement in inflation rates using a panel vector autoregression (panel VAR) model (Canova et al (2007) and Canova and Ciccarelli (2009)) for the G7 ... economies. The panel VAR framework is very flexible and has
https://www.rba.gov.au/publications/rdp/2012/2012-01/introduction.html

References

31 Dec 2012 RDP 2012-01
Hugo Gerard
Canova F and M Ciccarelli (2009), ‘Estimating Multicountry VAR Models’,. International Economic Review. , ... Koop G, Pesaran MH and SM Potter (1996), ‘Impulse Response Analysis in Nonlinear Multivariate Models’,.
https://www.rba.gov.au/publications/rdp/2012/2012-01/references.html

Implications for Modelling Inflation in Australia

31 Dec 2012 RDP 2012-01
Hugo Gerard
The Phillips curve and mark-up model specifications were augmented with the average of quarterly G7 headline inflation, similar to the measure of global inflation used in the panel VAR (which ... Table 2: Standard Phillips Curve Model. Estimation sample
https://www.rba.gov.au/publications/rdp/2012/2012-01/implications-modelling-inflation-australia.html