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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Appendix 2: Design of the Empirical ECM

1 Nov 1995 RDP 9510
Gordon de Brouwer and Neil R. Ericsson
Initially, the vector autoregression for the system cointegration analysis is simplified from a fourth-order VAR to a first-order VAR, where the variables in the VARs are p, ulc, ip, ... Treated sequentially, these six restrictions obtain the following
https://www.rba.gov.au/publications/rdp/1995/9510/appendix-2.html

References

1 Nov 1995 RDP 9510
Gordon de Brouwer and Neil R. Ericsson
1–33. Hendry, D.F. and G.E. Mizon (1993), “Evaluating Dynamic Econometric Models by Encompassing the VAR”, Chapter 18 in P.C.B. ... Phillips (ed.) Models, Methods, and Applications of Econometrics, Cambridge, Massachusetts, Basil Blackwell, pp.
https://www.rba.gov.au/publications/rdp/1995/9510/references.html

Integration and Cointegration

1 Nov 1995 RDP 9510
Gordon de Brouwer and Neil R. Ericsson
Table 2 reports the standard statistics and estimates for Johansen's procedure applied to this first-order VAR. ... That restriction is rejected for the error correction model developed in the next section.
https://www.rba.gov.au/publications/rdp/1995/9510/integration-and-cointegration.html

The Model's Properties

1 Nov 1995 RDP 9510
Gordon de Brouwer and Neil R. Ericsson
Equation (17) embeds the mark-up model (2) in its static long-run solution p. ... models of the Australian CPI are in differences only and require substantially longer lags.
https://www.rba.gov.au/publications/rdp/1995/9510/models-properties.html

A Single Equation Model of Inflation

1 Nov 1995 RDP 9510
Gordon de Brouwer and Neil R. Ericsson
RDP 9510: Modelling Inflation in Australia 5. A Single Equation Model of Inflation. ... The ECM (12) is a remarkably general model. In particular, it contains both static levels models and pure difference models of inflation as special (and testable)
https://www.rba.gov.au/publications/rdp/1995/9510/single-equation-model-of-inflation.html

Encompassing and Forecasting

1 Nov 1995 RDP 9510
Gordon de Brouwer and Neil R. Ericsson
Encompassing is a necessary property for any adequate empirical model: a model's inability to explain the properties of other models indicates the value of information contained in the other models, ... Encompassing establishes an ordering across models
https://www.rba.gov.au/publications/rdp/1995/9510/encompassing-and-forecasting.html