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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Estimating the Models
31 Dec 2013
RDP
2013-07
Consequently, the SOE Minnesota VAR is a natural benchmark for the BVECMX model. ... The main way the SOE Minnesota VAR differs from the BVECMX model is in the parameters of the prior.
https://www.rba.gov.au/publications/rdp/2013/2013-07/estimating-models.html
An Empirical BVAR-DSGE Model of the Australian Economy
6 Jun 2013
RDP
2013-07
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2013/2013-07.html
An Empirical BVAR-DSGE Model of the Australian Economy
31 Dec 2013
RDP
2013-07
Research Discussion Paper – RDP 2013-07 An Empirical BVAR-DSGE Model of the Australian Economy. ... Jarkko Jääskelä provided valuable advice and assistance. Thanks to our discussant, Farshid Vahid, and participants at the VAR Workshop held by the
https://www.rba.gov.au/publications/rdp/2013/2013-07/
Introduction
31 Dec 2013
RDP
2013-07
In this paper we study the forecasting performance of a small open economy VAR model when information from the DSGE model developed earlier in the paper is used as a prior. ... BVAR-DSGE models are only one method of using information from DSGE and VAR
https://www.rba.gov.au/publications/rdp/2013/2013-07/introduction.html
References
31 Dec 2013
RDP
2013-07
Del Negro M and F Schorfheide (2004), ‘Priors from General Equilibrium Models for VARS’,. ... Journal of Applied Econometrics. , 25(1), pp 93–128. Kadiyala KR and S Karlsson (1997), ‘Numerical Methods for Estimation and Inference in Bayesian
https://www.rba.gov.au/publications/rdp/2013/2013-07/references.html
Conclusions
31 Dec 2013
RDP
2013-07
RDP 2013-07: An Empirical BVAR-DSGE Model of the Australian Economy 6. ... This allows the price of exports to differ from other domestically produced goods in the model.
https://www.rba.gov.au/publications/rdp/2013/2013-07/conclusions.html
Results
31 Dec 2013
RDP
2013-07
Table 5 shows the performance of the BVECMX relative to our benchmark models, namely the SOE Minnesota VAR, the univariate autoregressions, the DSGE model and the DSGE and Minnesota forecasts combined ... These results imply that the SOE Minnesota VAR
https://www.rba.gov.au/publications/rdp/2013/2013-07/results.html
Forecasting
31 Dec 2013
RDP
2013-07
RDP 2013-07: An Empirical BVAR-DSGE Model of the Australian Economy 4. ... We compare the forecasting performance across models primarily by their RMSE and their bias.
https://www.rba.gov.au/publications/rdp/2013/2013-07/forecasting.html
Appendix A: Log-linearised Equations of the Model
31 Dec 2013
RDP
2013-07
Download the Paper 658. KB. This appendix lists the equations in the model. ... ε. Monetary policy. u. d. Domestic mark-up. The foreign VAR contains 4 reduced-form shocks.
https://www.rba.gov.au/publications/rdp/2013/2013-07/appendix-a.html
Appendix D: Further Results
31 Dec 2013
RDP
2013-07
Table D2: RMSE BVARX Relative to Benchmark Models. Benchmark models – excludes error-correction terms. ... than the benchmark; 1- and 2-years-ahead interest rate forecasts are for the level; VARs have 2 lags; Minn denotes SOE Minnesota VAR; AR denotes
https://www.rba.gov.au/publications/rdp/2013/2013-07/appendix-d.html