Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Monetary Policy and the Exchange Rate: Evaluation of VAR Models
30 Sep 2010
RDP
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334KB
in a controlled experiment.Simulating data from an estimated small open economy DSGE model forAustralia, we find that sign-restricted VAR models do reasonably well atestimating the responses of macroeconomic variables ... 4. VAR Models with Simulated Data
https://www.rba.gov.au/publications/rdp/2010/pdf/rdp2010-07.pdf
VAR Forecasting Models of the Australian Economy: A Preliminary Analysis
19 Nov 2012
RDP
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785KB
as well or better than comparable private sector forecasts. Each VAR model is. ... models. An asterisk indicates that the survey average performed no-better. than the VAR model.
https://www.rba.gov.au/publications/rdp/1988/pdf/rdp8802.pdf
Combining Forecast Densities from VARs with Uncertain Instabilities
4 Dec 2007
Research Workshop
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194KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/vahey-nicolaisen.pdf
Deriving Implied Time-variation in DSGE Coefficients from a Kernel-estimated TVP-VAR
13 Dec 2012
Research Workshop
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2123KB
Reserve Bank of Australia Workshop 2012
https://www.rba.gov.au/publications/workshops/research/2012/pdf/theodoridis.pdf
Incorporating judgement with DSGE models
13 Dec 2007
Research Workshop
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198KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/binning.pdf
A Small BVAR-DSGE Model for Forecasting the Australian Economy
10 Feb 2009
RDP
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599KB
VAR. The forecasting performance of themodel is competitive with benchmark models such as a Minnesota VAR and anindependently estimated DSGE model. ... 2. prior.3 While the Minnesota prior has aided the forecasting ability of VAR models,it is a purely
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-04.pdf
Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies
2 Feb 2015
RDP
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759KB
Dynamicstochastic general equilibrium (DSGE) models place greater emphasis on theory,while vector autoregression (VAR) models tend to provide a better fit of the data.Del Negro and Schorfheide (2004) develop a ... method of using a DSGE model toinform
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-06.pdf
The Sources of Fluctuations in Residential Investment: A View from a Policy-Oriented DSGE Model of the U.S. Economy
2 Dec 2008
Research Workshop
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303KB
Reserve Bank of Australia Workshop 2008: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2008/edge.pdf
Measurement with Some Theory: Using Sign Restrictions to Evaluate Business Cycle Models
3 Dec 2007
Research Workshop
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444KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/canova.pdf
Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
7 Jan 2024
RDP
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1715KB
macroeconomic models. For example, many models, including Woodford (2005), model investment. ... local projection model using (log) aggregate real non-mining investment (gross fixed capital.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-09.pdf