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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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The Structural VAR

31 Dec 2001 RDP 2001-01
John Simon
The VAR methodology specifically allows the data to suggest the best model. ... If, for example, we have estimated a VAR(3) model, the long-run cumulative effect of an innovation in u.
https://www.rba.gov.au/publications/rdp/2001/2001-01/structural-var.html

Introduction

31 Dec 2001 RDP 2001-01
John Simon
Section 4 presents the technical details of the structural VAR model that will be used to separate the influences of shocks and structure and Section 5 presents the results.
https://www.rba.gov.au/publications/rdp/2001/2001-01/introduction.html

Data and Results

31 Dec 2001 RDP 2001-01
John Simon
Download the Paper 152. KB. Before presenting the main results I consider the appropriate way to include the variables in the VAR. ... Output is unquestionably non-stationary while its growth rate is stationary so it is included in the VAR in growth rates
https://www.rba.gov.au/publications/rdp/2001/2001-01/data-and-results.html