Browsing Working Papers (Economics) by Subject "Forecast accuracy"

Browsing Working Papers (Economics) by Subject "Forecast accuracy"

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  • Bayesian methods of forecasting inventory investment in South Africa 
    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 ...
  • The blessing of dimensionality in forecasting real house price growth in the nine census divisions of the US 
    Gupta, Rangan; Das, Sonali; Kabundi, Alain (University of Pretoria, Department of Economics, 2009-01)
    This paper analyzes whether a wealth of information contained in 126 monthly series used by large-scale Bayesian Vector Autoregressive (LBVAR) models, as well as Factor Augmented Vector Autoregressive (FAVAR) models, ...
  • Could we have predicted the recent downturn in home sales of the four US census regions? 
    Gupta, Rangan; Tipoy, Christian Kakese; Das, Sonali (University of Pretoria, Department of Economics, 2009-12)
    This paper analyzes the ability of a random walk and, classical and Bayesian versions of autoregressive, vector autoregressive and vector error correction models in forecasting home sales for the four US census regions ...
  • Could we have predicted the recent downturn in the South African housing market? 
    Gupta, Rangan; Das, Sonali; Kabundi, Alain (University of Pretoria, Department of Economics, 2008-10)
    This paper develops large-scale Bayesian Vector Autoregressive (BVAR) models, based on 268 quarterly series, for forecasting annualized real house price growth rates for large-, medium- and smallmiddle- segment housing ...
  • A dynamic factor model for forecasting macroeconomic variables in South Africa 
    Gupta, Rangan; Kabundi, Alain (University of Pretoria, Department of Economics, 2008-06)
    This paper uses the Dynamic Factor Model (DFM) framework, which accommodates a large cross-section of macroeconomic time series for forecasting the per capita growth rate, inflation, and the nominal shortterm interest ...
  • Forecasting macroeconomic variables in a small open economy : a comparison between small- and large-scale models 
    Gupta, Rangan; Kabundi, Alain (University of Pretoria, Department of Economics, 2008-09)
    This paper compares the forecasting ability of five alternative models in predicting four key macroeconomic variables, namely, per capita growth rate, the Consumer Price Index (CPI) inflation, the money market rate, and ...
  • Forecasting macroeconomic variables using large datasets : dynamic factor model versus large-scale BVARs 
    Gupta, Rangan; Kabundi, Alain (University of Pretoria, Department of Economics, 2008-06)
    This paper uses two-types of large-scale models, namely the Dynamic Factor Model (DFM) and Bayesian Vector Autoregressive (BVAR) Models based on alternative hyperparameters specifying the prior, which accommodates 267 ...
  • Forecasting the South African economy : a DSGE-VAR approach 
    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 ...
  • An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa 
    Balcilar, Mehmet; Gupta, Rangan; Shah, Zahra B. (University of Pretoria, Department of Economics, 2010-03)
    This paper first tests if housing prices in the five segments of the South African housing market, namely, large-middle, medium-middle, small-middle, luxury and affordable, exhibits non-linearity based on smooth transition ...
  • Is a DFM well-suited for forecasting regional house price inflation? 
    Gupta, Rangan; Das, Sonali; Kabundi, Alain (University of Pretoria, Department of Economics, 2008-06)
    This paper uses the Dynamic Factor Model (DFM) framework, which accommodates a large cross-section of macroeconomic time series for forecasting regional house price inflation. As a case study, we use data on house price ...
  • Is the permanent income hypothesis really well-suited for forecasting? 
    Gupta, Rangan; Ziramba, Emmanuel (University of Pretoria, Department of Economics, 2009-03)
    This paper first tests the restrictions implied by Hall’s (1978) version of the permanent income hypothesis (PIH) obtained from a bivariate system of labor income and savings, using quarterly data over the period of 1947:01 ...
  • Modelling and forecasting the metical-rand exchange rate 
    Gupta, Rangan; Zita, Samuel (University of Pretoria, Department of Economics, 2007-02)
    This paper investigates the ability of the Dornbusch (1976) sticky-price model for the nominal metical-rand exchange rate, over the period 1994:1-2005:4 in explaining the exchange rate movements of Mozambique. Based on ...
  • A new-Keynesian DSGE model for forecasting the South African economy 
    Gupta, Rangan; Liu, Guangling; Schaling, Eric (University of Pretoria, Department of Economics, 2008-04)
    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 Bills rate) for ...
  • Predicting downturns in US housing market : a Bayesian approach 
    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 ...