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 generate one- to eight-quarters-ahead out-of-sample forecast errors for the period of 2001:1 to 2005:4. The forecast errors are then compared with the unrestricted versions of the Classical and Bayesian VARs. A Bayesian VAR with relatively loose priors outperforms both the classical VAR and the DSGE model.
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 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 ...
Gupta, Rangan; Lui, Guangling; Schaling, Eric(University of Pretoria, Department of Economics, 2007-07-30)
This paper develops an estimable hybrid model that combines the micro-founded
DSGE model with the °exibility of the theoretical VAR model. The model is
estimated via the maximum likelihood technique based on quarterly ...
