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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help?

1 Sep 1998 RDP 9812
Jeffrey C. Fuhrer
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1998/9812.html

Empirical Results

1 Sep 1998 RDP 9812
Jeffrey C. Fuhrer
Figure 1: Comparison of Autocorrelation Functions. VAR versus habit-formation model. Notes: Ordinate: lags in quarters. ... Notes: Ordinate: lags in quarters. Co-ordinate: correlation function. Black lines, VAR; grey lines, constrained model.
https://www.rba.gov.au/publications/rdp/1998/1998-12/empirical-results.html

A Simple Habit Formation Model

1 Sep 1998 RDP 9812
Jeffrey C. Fuhrer
RDP 9812: An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help? ... more-restricted linear models, with each succeeding restriction nested within the preceding less-restricted model and within the VAR; and (2) the finite sample
https://www.rba.gov.au/publications/rdp/1998/1998-12/simple-habit-formation-model.html

Introduction

1 Sep 1998 RDP 9812
Jeffrey C. Fuhrer
This of course implies that the model be closely tied to the presumed objectives of consumers and firms, hence the emphasis on optimisation-based models. ... To be more precise, I compare the ACF implied by an unconstrained vector autoregression with the
https://www.rba.gov.au/publications/rdp/1998/1998-12/introduction.html

Problems with Standard Models

1 Sep 1998 RDP 9812
Jeffrey C. Fuhrer
RDP 9812: An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help? ... form VARs or 1960s structural models sans explicit expectations.
https://www.rba.gov.au/publications/rdp/1998/1998-12/problems-with-standard-models.html