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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Cost-benefit Analysis of Leaning against the Wind

5 Jul 2019 RDP PDF 1512KB
unemployment rate taken from, for example, a structural macroeconomic model. A quadratic loss. ... 2 per cent over a two to four year period, depending on the model.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-05.pdf

Co-movement in Inflation

28 Jan 2015 RDP PDF 814KB
In this paper we use a panel vector autoregression (panel VAR) model to investigate possible explanations of this co-movement for the G7 economies. ... 4. Results. This section presents the key results from the panel VAR model.
https://www.rba.gov.au/publications/rdp/2012/pdf/rdp2012-01.pdf

Empirical Analysis for Australia

1 Jan 1988 RDP 8803
Michele Bullock, Glenn Stevens and Susan Thorp
VAR models are very general: unlike conventional regression equations, no restrictions are applied to the β. ... Causality” has a strictly defined, technical meaning when used in relation to VAR models.
https://www.rba.gov.au/publications/rdp/1988/8803/empirical-analysis-for-australia.html
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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

Combining Multivariate Density Forecasts Using Predictive Criteria

14 May 2008 RDP PDF 352KB
Each model is briefly presented below along withan overview of how the individual models are estimated. ... The BVAR specified with 2 lags is preferred at the one-quarter-ahead forecast horizon while 4 lags are preferred at the two-quarter-ahead
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-02.pdf

References

19 Dec 2023 RDP 2023-09
Place: A Macroeconometric Model of the Australian Economy’, RBA Research Discussion Paper No 2019-07. ... Plagborg-Møller M and CK Wolf (2021), ‘Local Projections and VARs Estimate the Same Impulse Responses’, Econometrica, 89(2), pp 955-980.
https://www.rba.gov.au/publications/rdp/2023/2023-09/references.html

References

16 May 2008 RDP 2008-01
Jeremy Lawson and Daniel Rees
RDP 2008-01: A Sectoral Model of the Australian Economy References. Jeremy Lawson and Daniel Rees. ... Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342.
https://www.rba.gov.au/publications/rdp/2008/2008-01/references.html
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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 Role of International Shocks in Australia’s Business Cycle

2 Dec 2009 RDP PDF 372KB
the Beveridge-Nelsondecomposition and a structural VAR model is identified using robust signrestrictions derived from a small open economy model. ... The small openeconomy assumption is imposed on the VAR model by restricting the impact ofdomestic
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-08.pdf

Forecasting Australian Economic Activity Using Leadership Indicators

1 Dec 2009 RDP PDF 338KB
Althoughnot uniform across all forecast horizons, generally the simple AR(p) model withtrend performs at least as well as the VAR models. ... At all horizons,both the single variable model and the VAR models with index perform roughlythe same.
https://www.rba.gov.au/publications/rdp/2000/pdf/rdp2000-02.pdf