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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Robustness

31 Dec 2013 RDP 2013-14
Isaac Gross and James Hansen
An important question is whether the estimated VAR is consistent with our theoretical model. ... VAR, but are assumed to be a statistically independent AR(1) process in the theoretical model.
https://www.rba.gov.au/publications/rdp/2013/2013-14/robustness.html

Motivation

31 Dec 2013 RDP 2013-14
Isaac Gross and James Hansen
In addition to the VAR IRFs, we also report the IRFs from our theoretical model in general equilibrium with endogenous reserves. ... Nevertheless, in view of the theoretical model's overall ability to match the VAR IRFs, we use these GMM estimates to
https://www.rba.gov.au/publications/rdp/2013/2013-14/motivation.html

References

31 Dec 2013 RDP 2013-14
Isaac Gross and James Hansen
Christiano LJ, M Eichenbaum and R Vigfusson (2007), ‘Assessing Structural VARs’, in D Acemoglu, K Rogoff and M Woodford (eds),. ... Jääskelä J and K Nimark (2008), ‘A Medium-Scale Open Economy Model of Australia’, RBA Research Discussion Paper
https://www.rba.gov.au/publications/rdp/2013/2013-14/references.html

Introduction

31 Dec 2013 RDP 2013-14
Isaac Gross and James Hansen
These two effects have been ignored in previous DSGE models with a natural resource sector. ... mapping between our theoretical and empirical models – and whether the results are sensitive to the structure of the empirical VAR we estimate.
https://www.rba.gov.au/publications/rdp/2013/2013-14/introduction.html

Natural Resources in a Small Open Economy

31 Dec 2013 RDP 2013-14
Isaac Gross and James Hansen
4.2 Estimation. The remaining parameters of the model are estimated using a GMM procedure that matches the IRFs of the empirical VAR, discussed in Section 2, and the IRFs of ... is the estimated IRF from the VAR, and W. jl. is a diagonal matrix that
https://www.rba.gov.au/publications/rdp/2013/2013-14/natural-resources-small-economy.html

Appendix D: The Small Open Economy in General Equilibrium

31 Dec 2013 RDP 2013-14
Isaac Gross and James Hansen
For the rest of the world, we assume that prices and quantities admit the following VAR(p) representation. ... First, we claim that the following system is a detrended representation of the economy in Definition (3) with a unique stable solution (at the
https://www.rba.gov.au/publications/rdp/2013/2013-14/appendix-d.html

Natural Resources in Partial Equilibrium

31 Dec 2013 RDP 2013-14
Isaac Gross and James Hansen
Definition 1. A partial equilibrium for the endogenous reserves model is given by sequences for. ... We allow for a stochastic discount factor in the general equilibrium model inNote since ω.
https://www.rba.gov.au/publications/rdp/2013/2013-14/natural-resources-partial-equilibrium.html