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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Estimation and Solution of Models with Expectations and Structural Changes
19 Dec 2012
RDP
2012-08
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2012/2012-08.html
Conclusion
31 Dec 2012
RDP
2012-08
RDP 2012-08: Estimation and Solution of Models with Expectations and Structural Changes 5. ... Download the Paper 1.08. MB. In this paper we develop a solution for linear models in which agents use model-consistent expectations but their beliefs about
https://www.rba.gov.au/publications/rdp/2012/2012-08/conclusion.html
Solutions with Structural Changes
31 Dec 2012
RDP
2012-08
T, since the final model is in place from. onwards one can apply the no structural change solution method to get a VAR structure y. ... m. the data are generated by the initial model with coefficients θ, that is by the first interval VAR structure y.
https://www.rba.gov.au/publications/rdp/2012/2012-08/solutions-structural-changes.html
Introduction
31 Dec 2012
RDP
2012-08
These methods are at the heart of likelihood-based estimation of such models. ... Our objective in this paper is to develop solutions for linear stochastic models with model-consistent expectations in the presence of structural changes that are possibly
https://www.rba.gov.au/publications/rdp/2012/2012-08/introduction.html
Solution of Models with Forward-looking Expectations and No Structural Changes
31 Dec 2012
RDP
2012-08
RDP 2012-08: Estimation and Solution of Models with Expectations and Structural Changes 2. ... Following that paper, a linear rational expectations model of n equations can be written as.
https://www.rba.gov.au/publications/rdp/2012/2012-08/solutions-expectations-no-structural-changes.html