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1–9 of 9 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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Methodology – Estimation

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
and. respectively; X has rows. and. It is noteworthy that the number of parameters in the DSGE model is much smaller than that in the VAR, hence the greater ability of ... In this paper we want to use a DSGE model to provide information about the
https://www.rba.gov.au/publications/rdp/2008/2008-04/met-estimation.html

A Small BVAR-DSGE Model for Forecasting the Australian Economy

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-04.html

Forecasting Performance Comparison

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
5.1 The Benchmarks. In order to examine the forecasting gain from using priors from a DSGE model, we need some benchmark models. ... The combination of a DSGE with a VAR model increases the number of free parameters, allowing for better fitting of the
https://www.rba.gov.au/publications/rdp/2008/2008-04/for-per-comparisons.html

Introduction

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
While the Minnesota prior has aided the forecasting ability of VAR models, it is a purely statistical device. ... As an alternative, we use a small DSGE model as the source of prior information for the VAR.
https://www.rba.gov.au/publications/rdp/2008/2008-04/introduction.html

References

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
Del Negro M and F Schorfheide (2004), ‘Priors from General Equilibrium Models for VARs’, International Economic Review, 45(2), pp 643–673. ... Kadiyala KR and S Karlsson (1997), ‘Numerical Methods for Estimation and Inference in Bayesian
https://www.rba.gov.au/publications/rdp/2008/2008-04/references.html

Conclusions

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
With the principal objective of macroeconomic forecasting, we have used a simple, small open economy DSGE model to provide prior information for a structural Bayesian VAR model. ... The performance of the BVAR-DSGE model in forecasting the key variables
https://www.rba.gov.au/publications/rdp/2008/2008-04/conclusion.html

Results – Estimation

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
This implies that we place equal weight on the DSGE model and the VAR, which was also found for New Zealand by Lees et al (2007). ... The unrestricted VAR we estimate separately in Section 5.1 is effectively λ = 0, since it places zero weight on the
https://www.rba.gov.au/publications/rdp/2008/2008-04/res-estimation.html

Appendix D: Impulse Responses

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
To do this, note that for the DSGE model there exists a matrix A. ... Alternatively, from the VAR, Equations (1) and (D1),. Consequently, we set Ω = Q.
https://www.rba.gov.au/publications/rdp/2008/2008-04/appendix-d.html

Data and DSGE Priors

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
which are also the variables in the VAR and are on the left-hand side below) into the model variables (shown on the right-hand side):. ... Also, as we have log-linearised the model (about its steady state), R.
https://www.rba.gov.au/publications/rdp/2008/2008-04/data-priors.html