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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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The VAR Methodology
1 Jul 1986
RDP
8608
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8608/var-methodology.html
Exchange Rate Regimes and the Volatility of Financial Prices: The Australian Case
1 Jul 1986
RDP
8608
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1986/8608.html
Some Econometric Issues
1 Jul 1986
RDP
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Secondly, that there are no significant spikes in the inverse autocorrelation function (i.e., the autocorrelation function of the dual model) of the residuals of the VAR. ... m. ) is significantly different from the zero matrix. Because of the tendency
https://www.rba.gov.au/publications/rdp/1986/8608/some-econometric-issues.html
Introduction
1 Jul 1986
RDP
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A VAR model is estimated for both the pre- and post-float periods, on daily data for short-term interest rates and exchange rates for Australia, the US, West Germany and ... Kenen (1985) has formulated a model which addresses this issue in the Australian
https://www.rba.gov.au/publications/rdp/1986/8608/introduction.html
Empirical Results
1 Jul 1986
RDP
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Table 9. Test that VAR Equation is a Random Walk (Marginal Significance Levels). ... Under this procedure, we first tested the null hypothesis that the relevant VAR equation was a first order univariate autoregressive model.
https://www.rba.gov.au/publications/rdp/1986/8608/empirical-results.html
References
1 Jul 1986
RDP
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115. Nickelsburg, G. (1985). “Small-Sample Properties of Dimensionality Statistics for Fitting VAR Models to Aggregate Economic Data”,. ... Econometrica. , Vol. 46, pp 1273–1282. Schwartz, G. (1978). “Estimating the Dimension of a Model”,.
https://www.rba.gov.au/publications/rdp/1986/8608/references.html
Conclusions
1 Jul 1986
RDP
8608
The results are, of course, derived from a reduced form model of relatively few variables. ... Data limitations prevent a more structural approach and the inclusion of scale (e.g., income) and relative price variables in the VARs.
https://www.rba.gov.au/publications/rdp/1986/8608/conclusions.html