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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Sign-restricted VAR Results

18 Dec 2008 RDP 2008-08
Philip Liu
13.5. 5.4. 44.6. 2.0. Looking at the variance decomposition of the shocks identified by the sign-restricted VAR model reveals some important differences (Table 4). ... To check the robustness of these results, the sign-restricted VAR model is
https://www.rba.gov.au/publications/rdp/2008/2008-08/sig-res-results.html

Estimating a SVAR Model

18 Dec 2008 RDP 2008-08
Philip Liu
Download the Paper 373. KB. This section sets out the small open economy sign-restricted VAR model estimated using the data described in Section 3.1. ... Consider a general VAR(p) model with n variables Y. t. :. where: A(L) = A. 1. L. A. p. Lp. is a p.
https://www.rba.gov.au/publications/rdp/2008/2008-08/est-model.html

Introduction

18 Dec 2008 RDP 2008-08
Philip Liu
More recent studies by Canova and De Nicolo (2002) and Peersman (2005) apply the sign restriction methodology to identify all shocks in the VAR model. ... The small open economy assumption is imposed on the VAR model by restricting the impact of domestic
https://www.rba.gov.au/publications/rdp/2008/2008-08/introduction.html

The Role of International Shocks in Australia's Business Cycle

18 Dec 2008 RDP 2008-08
Philip Liu
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-08.html

References

18 Dec 2008 RDP 2008-08
Philip Liu
Dungey M and AR Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342. ... Dungey M and AR Pagan (forthcoming), ‘Extending an SVAR Model of the Australian Economy’, Economic Record.
https://www.rba.gov.au/publications/rdp/2008/2008-08/references.html

The Role of International Shocks in Australia's Business Cycle

18 Dec 2008 RDP 2008-08
Philip Liu
Research Discussion Paper – RDP 2008-08 The Role of International Shocks in Australia's Business Cycle. Philip Liu. December 2008. 373. KB. Related Information. The materials on this webpage are subject to copyright and their use is subject to the
https://www.rba.gov.au/publications/rdp/2008/2008-08/

A Small Open Economy DSGE Model

18 Dec 2008 RDP 2008-08
Philip Liu
The solution of the model can be represented as a first-order VAR:. ... The IRFs of the model are broadly consistent with other open economy studies based on new Keynesian models.
https://www.rba.gov.au/publications/rdp/2008/2008-08/sma-ope-eco-model.html