Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models

Rangan Gupta
Authors registered in the RePEc Author Service: Alessia Paccagnini

No 201547, Working Papers from University of Pretoria, Department of Economics

Abstract: We propose a comparison between a group of nested and non-nested atheoretical and theoretical models in forecasting the inflation rate for South Africa, an inflation-targeting country. In a pseudo real-time environment, our results show that for shorter horizons, the atheoretical models, such as Vector Error Correction Models, with and without factors, perform better, while for longer horizons, theoretical (DSGE based) models outperform their competitors.

Keywords: Inflation; South Africa; Structural; Atheoretical; Factors; DSGE (search for similar items in EconPapers)
JEL-codes: C11 C32 C52 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2015-06
New Economics Papers: this item is included in nep-cba, nep-dge, nep-for and nep-mon
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Journal Article: Forecasting inflation in an inflation targeting economy: structural versus nonstructural models (2017)
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