Search: VAR models
Did you mean
varmodels?
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
Search Results
Estimating the Small Open Economy Model
31 Dec 2010
RDP
2010-07
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models 3. ... This is inconsistent with the standard assumption used to estimate recursive VARs, suggesting that these models will encounter problems identifying monetary policy shocks
https://www.rba.gov.au/publications/rdp/2010/2010-07/estimating-small-open-economy-model.html
Estimated Sign-restricted VAR – Actual Data
31 Dec 2010
RDP
2010-07
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models 5. ... Using Australian data, Liu (forthcoming) estimates a slightly more complex sign-restricted VAR model that captures the movements in the terms of trade.
https://www.rba.gov.au/publications/rdp/2010/2010-07/estimated-sign-restricted-var-actual-data.html