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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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The Dynamics of the Estimated Model

1 Jun 2015 RDP 2015-07
Daniel Rees, Penelope Smith and Jamie Hall
Using a structural VAR model, Manalo, Perera and Rees (in progress) find quantitatively similar results to us. ... In contrast, VAR models of the Australian economy typically attribute a larger share of macroeconomic volatility to foreign disturbances
https://www.rba.gov.au/publications/rdp/2015/2015-07/dynamics-estimated-model.html

Introduction

1 Jun 2015 RDP 2015-07
Daniel Rees, Penelope Smith and Jamie Hall
In this regard, their advantage over simpler reduced-form time series models, such as vector autoregressions (VAR), is that they make the economic mechanisms at work within the model transparent and ... Del Negro and Schorfheide (2013) survey the
https://www.rba.gov.au/publications/rdp/2015/2015-07/introduction.html

References

1 Jun 2015 RDP 2015-07
Daniel Rees, Penelope Smith and Jamie Hall
The Review of Economic Studies. , 72(3), pp 707–734. Gürkaynak RS, B Kisacikoǧlu and B Rossi (2013), ‘Do DSGE Models Forecast More Accurately Out-Of-Sample Than VAR Models?’, in ... VAR Models in Macroeconomics – New Developments and
https://www.rba.gov.au/publications/rdp/2015/2015-07/references.html