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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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VAR Models with Simulated Data

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
Download the Paper 335. KB. In this section, we estimate a selection of VAR models using simulated data from the DSGE model. ... We estimate VARs of order two, consistent with the VAR representation of the DSGE model.
https://www.rba.gov.au/publications/rdp/2010/2010-07/var-models-with-simulated-data.html

Conclusion

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models 6.Conclusion. ... Download the Paper 335. KB. This paper investigates the ability of vector autoregressive (VAR) models to properly identify monetary policy shocks with data
https://www.rba.gov.au/publications/rdp/2010/2010-07/conclusion.html

Introduction

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models 1. ... This paper examines the consequences of using recursive and sign-restricted VAR models to identify monetary policy shocks when the data-generating process is an estimated
https://www.rba.gov.au/publications/rdp/2010/2010-07/introduction.html

References

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models References. ... Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342.
https://www.rba.gov.au/publications/rdp/2010/2010-07/references.html

Appendix A: Sign Restriction Algorithm

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models Appendix A: Sign Restriction Algorithm. ... Download the Paper 335. KB. Consider a general VAR(p) model with n variables Y.
https://www.rba.gov.au/publications/rdp/2010/2010-07/appendix-a.html

Appendix C: Supplementary Figures

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models Appendix C: Supplementary Figures.
https://www.rba.gov.au/publications/rdp/2010/2010-07/appendix-c.html

A Small Open Economy DSGE Model

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models 2. ... Download the Paper 335. KB. This section presents the small open economy DSGE model.
https://www.rba.gov.au/publications/rdp/2010/2010-07/small-open-economy-dsge-model.html

Appendix B: Data Description and Sources

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models Appendix B: Data Description and Sources.
https://www.rba.gov.au/publications/rdp/2010/2010-07/appendix-b.html

Estimating the Small Open Economy Model

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models 3. ... This is inconsistent with the standard assumption used to estimate recursive VARs, suggesting that these models will encounter problems identifying monetary policy shocks
https://www.rba.gov.au/publications/rdp/2010/2010-07/estimating-small-open-economy-model.html

Estimated Sign-restricted VAR – Actual Data

31 Dec 2010 RDP 2010-07
Jarkko Jääskelä and David Jennings
RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models 5. ... Using Australian data, Liu (forthcoming) estimates a slightly more complex sign-restricted VAR model that captures the movements in the terms of trade.
https://www.rba.gov.au/publications/rdp/2010/2010-07/estimated-sign-restricted-var-actual-data.html