A small-scale DSGE model for forecasting the South African economy

dc.contributor.authorLiu, Guangling
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen
dc.date.accessioned2007-10-03T06:01:35Z
dc.date.available2007-10-03T06:01:35Z
dc.date.issued2007-06
dc.description.abstractThis 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.en
dc.format.extent504117 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.citationLiu, G & Gupta, R 2007, 'A small-scale DSGE model for forecasting the South African economy', South African Journal of Economics, vol. 75, no. 2, pp. 179–193. [http://www.blackwellpublishing.com/journal.asp?ref=0038-2280&site=2]en
dc.identifier.issn0038-2280
dc.identifier.other10.1111/j.1813-6982.2007.00118.x
dc.identifier.urihttp://hdl.handle.net/2263/3652
dc.language.isoenen
dc.publisherBlackwellen
dc.rightsBlackwell. The definitive version is available at www.blackwell-synergy.comen
dc.subjectDynamic stochastic general equilibrium (DSGE) modelen
dc.subjectVAR modelen
dc.subjectBVAR modelen
dc.subjectForecast accuracyen
dc.subjectDynamic stochastic general equilibrium (DSGE) forecastsen
dc.subjectVAR forecastsen
dc.subjectBVAR forecastsen
dc.subjectSouth African economyen
dc.subject.lcshSouth Africa -- Economic conditionsen
dc.subject.lcshEconomic forecasting -- Econometric models -- South Africaen
dc.titleA small-scale DSGE model for forecasting the South African economyen
dc.typePostprint Articleen

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