A large factor model for forecasting macroeconomic variables in South Africa
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Kabundi, Alain | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_US |
| dc.date.accessioned | 2011-01-28T08:54:11Z | |
| dc.date.available | 2011-01-28T08:54:11Z | |
| dc.date.issued | 2011-10 | |
| dc.description.abstract | This paper uses large Factor Models (FMs), which accommodate a large cross-section of macroeconomic time series for forecasting the per capita growth rate, inflation, and the nominal short-term interest rate for the South African economy. The FMs used in this study contain 267 quarterly series observed over the period 1980Q1–2006Q4. The results, based on the RMSEs of one- to four-quarter-ahead out-of-sample forecasts from 2001Q1 to 2006Q4, indicate that the FMs tend to outperform alternative models such as an unrestricted VAR, Bayesian VARs (BVARs) and a typical New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model in forecasting the three variables under consideration, hence indicating the blessings of dimensionality. | en |
| dc.identifier.citation | Gupta, R & Kabundi, AA 2011, 'A large factor model for forecasting macroeconomic variables in South Africa', International Journal of Forecasting, vol. 27, no. 4, pp. 1076-1088, doi:10.1016/j.ijforecast.2010.10.001 | en |
| dc.identifier.issn | 0169-2070 | |
| dc.identifier.other | 10.1016/j.ijforecast.2010.10.001 | |
| dc.identifier.uri | http://hdl.handle.net/2263/15793 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | © 2010 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in International Journal of Forecasting. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in International Journal of Forecasting, vol. 27, no. 4, pp. 1076-1088, 2011. doi : 10.1016/j.ijforecast.2010.10.001. | en_US |
| dc.subject | Factor Models (FMs) | en |
| dc.subject | VAR model | en |
| dc.subject | Bayesian VARs (BVARs) | en |
| dc.subject | New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) | en |
| dc.subject | Forecast accuracy | en |
| dc.subject.lcsh | Economic forecasting -- South Africa -- Econometric models | en |
| dc.subject.lcsh | Macroeconomics -- South Africa -- Econometric models | en |
| dc.title | A large factor model for forecasting macroeconomic variables in South Africa | en |
| dc.type | Postprint Article | en |