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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
Robert G. Trevor and Susan J. Thorp
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
Robert G. Trevor and Susan J. Thorp
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
Robert G. Trevor and Susan J. Thorp
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
Robert G. Trevor and Susan J. Thorp
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
Robert G. Trevor and Susan J. Thorp
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
Robert G. Trevor and Susan J. Thorp
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
Robert G. Trevor and Susan J. Thorp
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
Robert G. Trevor and Susan J. Thorp
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
Robert G. Trevor and Susan J. Thorp
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