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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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The VAR Methodology

1 May 1986 RDP 8604
Robert G. Trevor and Stephen G. Donald
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8604/var-methodology.html

Introduction

1 May 1986 RDP 8604
Robert G. Trevor and Stephen G. Donald
In particular, the innovation accounting techniques generally applied to VARs (in order to describe them succinctly) provide detailed information on the patterns and degrees of influence among variables in the VAR. ... There has been a certain amount of
https://www.rba.gov.au/publications/rdp/1986/8604/introduction.html

Forecasting the Coincident Indexes

1 May 1986 RDP 8604
Robert G. Trevor and Stephen G. Donald
In fitting the VARs in this paper all variables are included in levels. ... Fourteen lags (and a quadratic in time) were required to induce white noise residuals in the VAR.
https://www.rba.gov.au/publications/rdp/1986/8604/forecasting-the-coincident-indexes.html

Forecasting Activity Variables

1 May 1986 RDP 8604
Robert G. Trevor and Stephen G. Donald
The characteristics of these estimated VARs are described below. A comparison is also provided, in which both leading indexes and an activity variable are included in a VAR to determine whether ... Table 6 contains the results for the Granger-causality
https://www.rba.gov.au/publications/rdp/1986/8604/forecasting-activity-variables.html