Forecasting the South African Economy: A DSGE-VAR Approach

Guangling Liu (), Rangan Gupta and Eric Schaling ()

No 200724, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper develops an estimable hybrid model that combines the theoretical rigor of a micro-founded DSGE model with the flexibility of an atheoretical VAR model. The model is estimated via maximum likelihood technique based on quarterly data on real Gross National Product (GNP), consumption, investment and hours worked, for the South African economy, over the period of 1970:1 to 2000:4. Based on a recursive estimation using the Kalman filter algorithm, the out-of-sample forecasts from the hybrid model are then compared with the forecasts generated from the Classical and Bayesian variants of the VAR for the period 2001:1-2005:4. The results indicate that, in general, the estimated hybrid DSGE model outperforms the Classical VAR, but not the Bayesian VARs in terms of out-of-sample forecasting performances.

Keywords: DSGE Model; VAR and BVAR Model; Forecast Accuracy; DSGE Forecasts; VAR Forecasts; BVAR Forecasts. (search for similar items in EconPapers)
JEL-codes: E17 E27 E32 E37 E47 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2007-07
New Economics Papers: this item is included in nep-afr, nep-cba, nep-dge, nep-for and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (6)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Forecasting the South African Economy: A DSGE-VAR Approach (2008)
Working Paper: Forecasting the South African Economy: A DSGE-VAR Approach (2008)
Working Paper: Forecasting the South African Economy: A DSGE-VAR Approach (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:200724

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().