A BVAR model for the South African economy
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Sichei, Moses Muse | |
| dc.contributor.email | rangan.gupta@up.ac.za | en |
| dc.date.accessioned | 2007-08-17T09:13:51Z | |
| dc.date.available | 2007-08-17T09:13:51Z | |
| dc.date.issued | 2006-09 | |
| dc.description.abstract | The paper develops a Bayesian vector autoregressive (BVAR) model of the South African economy for the period of 1970:1-2000:4 and forecasts GDP, consumption, investment, short-term 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 BVAR model is compared with the same generated from the univariate and unrestricted VAR models. The BVAR model is found to produce the most accurate out of sample forecasts. The same is also capable of correctly predicting the direction of change in the chosen macroeconomic indicators. | en |
| dc.format.extent | 422521 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | Gupta, R & Sichei, MM 2006, 'A BVAR model for the South African economy', South African Journal of Economics, vol. 74, no. 3, pp. 391–409. [http://www.blackwellpublishing.com/journal.asp?ref=0038-2280&site=1] | en |
| dc.identifier.issn | 0038-2280 | |
| dc.identifier.uri | http://hdl.handle.net/2263/3315 | |
| dc.language.iso | en | en |
| dc.publisher | Blackwell | en |
| dc.rights | Blackwell. This article is embargoed by the publisher until September 2007 | en |
| dc.subject | South African economy | en |
| dc.subject | Bayesian vector autoregressive (BVAR) model | en |
| dc.subject | Economic forecasting | en |
| dc.subject | Vector autoregressive (VAR) model | en |
| dc.subject.lcsh | Economic forecasting -- South Africa -- Econometric models | |
| dc.subject.lcsh | South Africa -- Economic conditions -- Econometric models | |
| dc.title | A BVAR model for the South African economy | en |
| dc.type | Postprint Article | en |