Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
Search Results
Online Appendices: A Model of the Australian Housing Market
5 Mar 2019
RDP
PDF
1184KB
RDP 2019-01 online appendices
https://www.rba.gov.au/publications/rdp/2019/2019-01/rdp-2019-01-online-appendices.pdf
The New Framework Challenges Some Practices
26 Jul 2018
RDP
2018-08
Download the Paper 1,726. KB. For models with a semi-log form, like The Standard Model, the international consumer and producer price index manuals recommend a bias correction for. ... Occasionally, the literature also defines dynamic population indices
https://www.rba.gov.au/publications/rdp/2018/2018-08/the-new-framework-challenges-some-practices.html
See 15 more results from "RDP 2018-08"
DSGE Reno: Adding a Housing Block to a Small Open Economy Model
11 Jun 2018
RDP
PDF
1710KB
model without housing. These regularities include the sensitivity of housing investment to interest. ... models – we show that our model does a good job in capturing aggregate and housing sector.
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-04.pdf
The Transmission of Monetary Policy
6 Apr 2018
RDP
2018-04
The decline in GDP, which is within the range of estimates from empirical VAR models (e.g. ... We note, however, that our intent is not to estimate the VAR representation of our DSGE model.
https://www.rba.gov.au/publications/rdp/2018/2018-04/the-transmission-of-monetary-policy.html
See 15 more results from "RDP 2018-04"
1 READ ME FILE Paper title: DSGE Reno: Adding ...
3 Apr 2018
RDP
PDF
328KB
Structural VARS:. The code to estimate the structural VAR models and reproduce Figure 12 can be found in the ‘SVAR’. ... Existing results are stored in VAR_model_1, VAR_model_2, VAR_model_3 and VAR_model_4. Bayesian IRFs:.
https://www.rba.gov.au/publications/rdp/2018/2018-04/rdp-2018-04-read-me.pdf
The Model
27 Feb 2018
RDP
2018-02
It is a joint model of the nominal and real term structures of interest rates. ... n. are functions of the underlying model parameters (see Appendix A for further details).
https://www.rba.gov.au/publications/rdp/2018/2018-02/the-model.html
See 17 more results from "RDP 2018-02"
Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
22 Feb 2018
RDP
PDF
1672KB
structure model (ATSM). These models are widely used by policymakers and academics, and have. ... We start by outlining the model that we will use in this paper.
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-02.pdf
Uncertainty and Monetary Policy in Good and Bad Times
12 Oct 2017
RDP
PDF
1508KB
regards the linear version of the VAR model, for which an extensive literature on optimal lag. ... selection in VARs is available. Given the high nonlinearity of the model, we estimate it by.
https://www.rba.gov.au/publications/rdp/2017/pdf/rdp2017-06.pdf
Appendix A: Technical Details
1 Oct 2017
RDP
2017-06
The Teräsvirta-Yang test for linearity versus the STVAR model can be performed as follows:. ... Given that the model is highly nonlinear in its parameters, several local optima might be present.
https://www.rba.gov.au/publications/rdp/2017/2017-06/appendix-a.html
See 12 more results from "RDP 2017-06"
Jobs or Hours? Cyclical Labour Market Adjustment in Australia
7 Sep 2017
RDP
PDF
1259KB
= 1 600). The results from VAR models can be sensitive to the variables included and the structure of the VAR,. ... that should, in theory, be related to it. That said, the VAR model provides some tentative evidence.
https://www.rba.gov.au/publications/rdp/2016/pdf/rdp2016-06.pdf