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1–4 of 4 collapsed search results for VAR models
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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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DSGE Reno: Adding a Housing Block to a Small Open Economy Model

1 Apr 2018 RDP 2018-04
Christopher G Gibbs, Jonathan Hambur and Gabriela Nodari
Structural VARS:. The code to estimate the structural VAR models and reproduce Figure 12 can be found in the ‘SVAR’ directory. ... Existing results are stored in VAR_model_1, VAR_model_2, VAR_model_3 and VAR_model_4. Bayesian IRFs:.
https://www.rba.gov.au/publications/rdp/2018/2018-04/read-me.html

DSGE Reno: Adding a Housing Block to a Small Open Economy Model

1 Apr 2018 RDP 2018-04
Christopher G Gibbs, Jonathan Hambur and Gabriela Nodari
for the housing sector in Iacoviello-type models – we show that our model does a good job in capturing aggregate and housing sector dynamics. ... As we show in Section 4.2, this is consistent with evidence based on a VAR model.
https://www.rba.gov.au/publications/rdp/2018/2018-04/full.html

The Transmission of Monetary Policy

6 Apr 2018 RDP 2018-04
Christopher G Gibbs, Jonathan Hambur and Gabriela Nodari
The decline in GDP, which is within the range of estimates from empirical VAR models (e.g. ... We note, however, that our intent is not to estimate the VAR representation of our DSGE model.
https://www.rba.gov.au/publications/rdp/2018/2018-04/the-transmission-of-monetary-policy.html

Estimation

6 Apr 2018 RDP 2018-04
Christopher G Gibbs, Jonathan Hambur and Gabriela Nodari
Table 1 shows the values chosen for the calibrated parameters of the model. ... As we show in Section 4.2, this is consistent with evidence based on a VAR model.
https://www.rba.gov.au/publications/rdp/2018/2018-04/estimation.html