This paper develops a Bayesian Vector Error Correction Model (BVECM) for forecasting inventory investment. The model is estimated using South African quarterly data on actual sales, production, unfilled orders, price level and interest rate, for the period 1978 to 2000. The out-of-sample-forecast accuracy obtained from the BVECM over the forecasting horizon of 2001:1 to 2003:4, is compared with those generated from the classical variant of the Vector Autoregresssive (VAR) model and the VECM, the Bayesian VAR, and the recently developed ECM by Smith et al., for the South African economy. The BVECM with the most-tight prior outperforms all the other models, except for a relatively tight BVAR which also correctly predicts the direction of change of inventory investment over the period of 2004:1 to 2006:3.
Gupta, Rangan(University of Pretoria, Department of Economics, 2007-02)
This paper develops a Bayesian Vector Error Correction Model (BVECM) for
forecasting inventory investment in South Africa. The model is estimated using
quarterly data on actual sales, production, unfilled orders, price ...
This paper uses a version of Hansen's (1985) Dynamic Stochastic General Equilibrium (DSGE) model to forecast the South African economy. The calibrated model, based on annual data over the period of 1970-2000, is used to ...
Gupta, Rangan; Das, Sonali(University of Pretoria, Department of Economics, 2008-06)
This paper estimates Bayesian Vector Autoregressive (BVAR) models, both spatial and non-spatial
(univariate and multivariate), for the twenty largest states of the US economy, using quarterly data over
the period 1976:Q1 ...