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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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VAR Forecasting Models of the Australian Economy: A Preliminary Analysis
1 Jan 1988
RDP
8802
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1988/8802.html
Introduction
1 Jan 1988
RDP
8802
To partially accommodate these results, three different VAR models (each with a different detrending scheme) are considered. ... Section 3 details the VAR models estimated here, the data and estimation techniques employed.
https://www.rba.gov.au/publications/rdp/1988/8802/introduction.html
Forecast Evaluation
1 Jan 1988
RDP
8802
An asterisk indicates that the survey average performed no-better than the VAR model. ... An asterisk denotes that the survey average performed no-better than the VAR model.
https://www.rba.gov.au/publications/rdp/1988/8802/forecast-evaluation.html
Var Forecasting Models of the Australian Economy: A Preliminary Analysis
1 Jan 1988
RDP
8802
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1988/8802/
Evidence on VAR Forecasting
1 Jan 1988
RDP
8802
The distinctive feature of VAR models is that no exclusion restrictions are applied to the β. ... Bayesian VAR) model against the records of a number of prominent forecasting models in the United States.
https://www.rba.gov.au/publications/rdp/1988/8802/evidence-on-var-forecasting.html
Conclusions and Future Directions
1 Jan 1988
RDP
8802
It may be that forecasts from VAR models will set the standard by which these other models are judged. ... Given our “cheap and simple” approach, the ex-ante forecasts, produced up to six quarters ahead by the VAR models, are generally competitive
https://www.rba.gov.au/publications/rdp/1988/8802/conclusions-and-future-directions.html
Three Vector Autoregressive Models
1 Jan 1988
RDP
8802
This we do for the two standard VARs. For the Bayesian VAR we set the lag length quite a bit longer than for the first two models, letting the priors tighten ... The second model, VAR(D), is estimated on first differenced data. Our tests indicated a lag
https://www.rba.gov.au/publications/rdp/1988/8802/three-vector-autoregressive-models.html
References
1 Jan 1988
RDP
8802
RDP 8802: Var Forecasting Models of the Australian Economy: A Preliminary Analysis References. ... Peters and S. Wren-Lewis (1986), “Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Ouput Equation”,.
https://www.rba.gov.au/publications/rdp/1988/8802/references.html
Data Appendix
1 Jan 1988
RDP
8802
RDP 8802: Var Forecasting Models of the Australian Economy: A Preliminary Analysis Data Appendix.
https://www.rba.gov.au/publications/rdp/1988/8802/data-appendix.html