Forecasting the South African economy with VARs and VECMs

Gupta, Rangan

dc.contributor.author	Gupta, Rangan
dc.date.accessioned	2007-08-17T08:40:39Z
dc.date.available	2007-08-17T08:40:39Z
dc.date.issued	2006-12
dc.description.abstract	The paper develops a Bayesian Vector Error Correction Model (BVECM) of the South African economy for the period 1970:1-2000:4 and forecasts GDP, consumption, investment, short and long term interest rates, and the CPI. We find that a tight prior produces relatively more accurate forecasts than a loose one. The out-of-sample-forecast accuracy resulting from the BVECM is compared with those generated from the Classical variant of the VAR and VECM and the Bayesian VAR. The BVECM is found to produce the most accurate out of sample forecasts. It also correctly predicts the direction of change in the chosen macroeconomic indicators.	en
dc.format.extent	336054 bytes
dc.format.mimetype	application/pdf
dc.identifier.citation	Gupta, R 2006, 'Forecasting the South African economy with VARs and VECMs', South African Journal of Economics, vol. 74, pp. 611-628. [http://www.blackwellpublishing.com/journal.asp?ref=0038-2280&site=1]	en
dc.identifier.issn	0038-2280
dc.identifier.uri	http://hdl.handle.net/2263/3313
dc.language.iso	en	en
dc.publisher	Blackwell	en
dc.rights	Blackwell. This article is embargoed by the published until December 2007	en
dc.subject	South African economy	en
dc.subject	Bayesian vector error correction model (BVECM)	en
dc.subject	Economic forecasting	en
dc.subject	Vector autoregressive (VAR) model	en
dc.subject	Vector error correction model (VECM)	en
dc.subject.lcsh	Economic forecasting -- South Africa -- Econometric models
dc.subject.lcsh	South Africa -- Economic conditions -- Econometric models
dc.title	Forecasting the South African economy with VARs and VECMs	en
dc.type	Postprint Article	en