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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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A Suite of Models

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
The BVAR shrinks the parameters on integrated variables in an unrestricted VAR towards the univariate random walk model. ... Each model is briefly presented below along with an overview of how the individual models are estimated.
https://www.rba.gov.au/publications/rdp/2008/2008-02/sui-models.html

References

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
Andersson MK and S Karlsson (2007), ‘Bayesian Forecast Combination for VAR Models’, Sveriges Riksbank Working Paper No 216. ... Kadiyala KR and S Karlsson (1997), ‘Numerical Methods for Estimation and Inference in Bayesian VAR-Models’, Journal of
https://www.rba.gov.au/publications/rdp/2008/2008-02/references.html

Combining Multivariate Density Forecasts Using Predictive Criteria

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-02.html

Results

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
The benchmark VAR model specified with 3 lags also receives substantial weight at the one-quarter-ahead forecast horizon. ... It is also clear that the DSGE model's density forecasts are characterised by a much larger degree of uncertainty than is the
https://www.rba.gov.au/publications/rdp/2008/2008-02/results.html