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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Identification and Inference under Narrative Restrictions
26 Oct 2023
RDP
2023-07
1. p. ,. ,. y. 0. ). are given. The reduced-form VAR(p) representation is. ... The SVAR model with NR possesses features of set-identified models from the Bayesian standpoint (i.e.
https://www.rba.gov.au/publications/rdp/2023/2023-07/full.html
References
26 Oct 2023
RDP
2023-07
Inoue A and L Kilian (2022), ‘Joint Bayesian Inference about Impulse Responses in VAR Models’, Journal of Econometrics, 231(2), pp 457–476. ... Rothenberg TJ (1971), ‘Identification in Parametric Models’, Econometrica, 39(3), pp 577–591.
https://www.rba.gov.au/publications/rdp/2023/2023-07/references.html
General Framework
26 Oct 2023
RDP
2023-07
1. p. ,. ,. y. 0. ). are given. The reduced-form VAR(p) representation is. ... i.e. the likelihood of the reduced-form VAR), which depends only on.
https://www.rba.gov.au/publications/rdp/2023/2023-07/general-framework.html
Appendix B: Proofs
26 Oct 2023
RDP
2023-07
Proof. Y. T. enters the NR through the reduced-form VAR innovations, u. ... t. After noting that the reduced-form VAR innovations are (implicitly) continuous in.
https://www.rba.gov.au/publications/rdp/2023/2023-07/appendix-b.html
Identification under NR
26 Oct 2023
RDP
2023-07
0. ). boils down to geometric equivalence of the set of reduced-form VAR innovations satisfying the NR. ... The SVAR model with NR possesses features of set-identified models from the Bayesian standpoint (i.e.
https://www.rba.gov.au/publications/rdp/2023/2023-07/identification-under-nr.html
Empirical Application: Dynamic Effects of US Monetary Policy
26 Oct 2023
RDP
2023-07
The reduced-form VAR is the same as in Uhlig (2005). The model's variables are real GDP, the GDP deflator, a commodity price index, total reserves, non-borrowed reserves (all ... The data are monthly from January 1965 to November 2007. The VAR includes a
https://www.rba.gov.au/publications/rdp/2023/2023-07/empirical-application-dynamic-effects-of-us-monetary-policy.html