Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
Search Results
A Suite of Models
16 May 2008
RDP
2008-02
The BVAR shrinks the parameters on integrated variables in an unrestricted VAR towards the univariate random walk model. ... Each model is briefly presented below along with an overview of how the individual models are estimated.
https://www.rba.gov.au/publications/rdp/2008/2008-02/sui-models.html
See 10 more results from "RDP 2008-02"
Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Nov 1997
RDP
9708
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1997/9708.html
See 5 more results from "RDP 9708"
Identification and Inference under Narrative Restrictions
26 Oct 2023
RDP
2023-07
1. p. ,. ,. y. 0. ). are given. The reduced-form VAR(p) representation is. ... The SVAR model with NR possesses features of set-identified models from the Bayesian standpoint (i.e.
https://www.rba.gov.au/publications/rdp/2023/2023-07/full.html
See 15 more results from "RDP 2023-07"
Robustness
31 Dec 2013
RDP
2013-14
An important question is whether the estimated VAR is consistent with our theoretical model. ... VAR, but are assumed to be a statistically independent AR(1) process in the theoretical model.
https://www.rba.gov.au/publications/rdp/2013/2013-14/robustness.html
See 10 more results from "RDP 2013-14"
Bulletin June Quarter 2023
29 Sep 2023
Bulletin
- June 2023
PDF
7089KB
https://www.rba.gov.au/publications/bulletin/2023/jun/pdf/bulletin-2023-06.pdf
Measurement with Some Theory: Using Sign Restrictions to Evaluate Business Cycle Models
3 Dec 2007
Research Workshop
PDF
444KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/canova.pdf
General Discussion of Decomposing Supply and Demand Driven Inflation
23 Nov 2023
Conferences
PDF
90KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-general-discussion.pdf
Economic Forecasting at the Reserve Bank of Australia
6 Apr 2016
Speech
Speech delivered by Christopher Kent, Assistant Governor (Economic), to the Economic Society of Australia, Hobart
https://www.rba.gov.au/speeches/2016/sp-ag-2016-04-06.html
The VAR Methodology
1 May 1986
RDP
8604
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/1986/8604/var-methodology.html
See 6 more results from "RDP 8604"
Financial-asset Prices and Monetary Policy: Theory and Evidence | Conference – 1997
21 Jul 1997
Conferences
Each of the VAR models is estimated with six lags of the endogenous variables and the shocks are identified by a long-run triangular Choleski identification scheme. ... Model 1 of Table 2 is a bivariate VAR model which only includes the real exchange
https://www.rba.gov.au/publications/confs/1997/smets.html