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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

6 Oct 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2010/2010-07.html
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Model and Data

31 Dec 2014 RDP 2014-11
Josef Manalo, Dilhan Perera and Daniel Rees
We estimate a separate VAR for each sector of the Australian economy, as well as an aggregate model that excludes sectoral production measures. ... In the disaggregated models, our measure of aggregate output is real GDP less the gross value added of the
https://www.rba.gov.au/publications/rdp/2014/2014-11/mod-data.html
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VAR Forecasting Models of the Australian Economy: A Preliminary Analysis

1 Jan 1988 RDP 8802
Robert G. Trevor and Susan J. Thorp
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1988/8802.html
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Monetary Policy and the Exchange Rate: Evaluation of VAR Models

30 Sep 2010 RDP PDF 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

Robustness to Alternative Specifications

29 May 2017 RDP 2017-02
James Bishop and Peter Tulip
Unlike the six-variable VAR in Figure 1, we use a more parsimonious model that contains only real GDP (in levels), underlying inflation and our measure of monetary policy shocks (in ... Response to a temporary 1 percentage point shock. Notes: VAR model;
https://www.rba.gov.au/publications/rdp/2017/2017-02/robustness-to-alternative-specifications.html
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A Panel VAR

31 Dec 2012 RDP 2012-01
Hugo Gerard
Download the Paper 814. KB. The panel VAR model outlined below largely follows Canova et al (2007) and Canova and Ciccarelli (2009). ... A panel VAR represents an extension of a standard dynamic panel data model to incorporate a vector of variables.
https://www.rba.gov.au/publications/rdp/2012/2012-01/panel.html
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Glossary

2 May 2023
A glossary of terms used on the RBA website
https://www.rba.gov.au/glossary/

The VAR Method

1 Nov 1990 RDP 9009
Jerome Fahrer and Lynne-Ellen Shori
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy 3. ... VARs were popularized by Sims (1980), as a reaction to what he saw as the “incredible” restrictions necessary to identify structural models.
https://www.rba.gov.au/publications/rdp/1990/9009/var-method.html
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Appendix B: VAR Results and Sensitivity Analysis

1 Feb 1998 RDP 9801
Guy Debelle and James Vickery
Download the Paper 314. KB. The two tables below present summarised results from the two VAR models in Section 5 of the paper. ... 0.09. These models were then subject to a range of sensitivity tests to examine the robustness of conclusions from the VAR
https://www.rba.gov.au/publications/rdp/1998/1998-01/appendix-b.html
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VAR Forecasting Models of the Australian Economy: A Preliminary Analysis

19 Nov 2012 RDP PDF 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