This paper develops a New-Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model for forecasting the growth rate of output, inflation, and the nominal short-term interest rate (91 days Treasury Bill rate) for the South African economy. The model is estimated via maximum likelihood technique for quarterly data over the period of 1970:1-2000:4. Based on a recursive estimation using the Kalman filter algorithm, out-of-sample forecasts from the NKDSGE model are compared with forecasts generated from the classical and Bayesian variants of vector autoregression (VAR) models for the period 2001:1-2006:4. The results indicate that in terms of out-of-sample forecasting, the NKDSGE model outperforms both the classical and Bayesian VARs for inflation, but not for output growth and nominal short-term interest rate. However, differences in RMSEs are not significant across the models.
Since the emergence of systematic science it has been recognized that a natural phenomenon can be described
by different models that vary in their complexity and their ability to capture the details of the features
Olivier, Laurentz Eugene; Craig, Ian K.(Elsevier, 2013-02)
The performance of a model predictive controller depends on the quality of
the plant model that is available. Often parameters in a run-of-mine (ROM)
ore milling circuit are uncertain and inaccurate parameter estimation ...
Sekgota, Mpolaeng Gilbert(University of Pretoria, 2013-05-27)
The Sustainable Restitution Support – South Africa (SRS-SA) program aimed at the development of a post-settlement support model that could be used to support beneficiaries of land reform in South Africa, especially those ...