Vector autoregression modelling and forecasting growth of South Korea

Anita Ghatak

Journal of Applied Statistics, 1998, vol. 25, issue 5, 579-592

Abstract: In this paper, we have estimated vector autoregression (VAR), Bayesian vector autoregression (BVAR) and vector error-correction models (VECMs) using annual time-series data of South Korea for 1950-94. We find evidence supporting the view that growth of real per-capita income has been aided by income, investment and export growth, as well as government spending and exchange rate policies. The VECMs provide better forecasts of growth than do the VAR and BVAR models for both short-term and long-term predictions.

Date: 1998
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DOI: 10.1080/02664769822837

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