Bayesian methods of forecasting inventory investment in South Africa

dc.contributor.upauthorGupta, Rangan
dc.date.accessioned2008-02-11T08:28:46Z
dc.date.available2008-02-11T08:28:46Z
dc.date.issued2007-02
dc.description.abstractThis 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 levels and interest rates, for the period of 1978 to 2000. The out-of-sample-forecast accuracy obtained from the BVECM, over the forecasting horizon of 2001:1 to 2003:4, is compared with those generated from the Classical variant of the VAR and the VECM, the Bayesian VAR, and the ECM of inventory investment developed by Smith et al. (2006) for the South African economy. The BVECM with the most tight prior outperforms all the other models, except for a relatively tight BVAR. This BVAR model also correctly predicts the direction of change of inventory investment over the period of 2004:1 to 2006:3.en
dc.format.extent496163 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.citationGupta, R 2007, 'Bayesian methods of forecasting inventory investment in South Africa', University of Pretoria, Department of Economics, Working paper series, no. 2007-04. [http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3]en
dc.identifier.urihttp://hdl.handle.net/2263/4406
dc.language.isoenen
dc.publisherUniversity of Pretoria, Department of Economicsen
dc.relation.ispartofseriesWorking Paper (University of Pretoria, Department of Economics)en
dc.relation.ispartofseries2007-04en
dc.rightsUniversity of Pretoria, Department of Economicsen
dc.subjectVector error correction model (VECM)en
dc.subjectBayesian vector error correction model (BVECM)en
dc.subjectVector autoregressive (VAR) modelen
dc.subjectVAR modelen
dc.subjectBVAR modelen
dc.subjectForecast accuracyen
dc.subjectBVECM forecastsen
dc.subjectVECM forecastsen
dc.subjectBVAR forecastsen
dc.subjectECM forecastsen
dc.subjectVAR forecastsen
dc.subject.lcshBayesian statistical decision theoryen
dc.subject.lcshEconomic forecasting -- Econometric modelsen
dc.subject.lcshInventories -- South Africaen
dc.subject.lcshInvestments -- South Africaen
dc.titleBayesian methods of forecasting inventory investment in South Africaen
dc.typeWorking Paperen

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Gupta_Bayesian(2007).pdf
Size:
484.53 KB
Format:
Adobe Portable Document Format

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
2.42 KB
Format:
Item-specific license agreed upon to submission
Description: