Forecasting Real GDP Growth for Africa

Philip Hans Franses and Max Welz
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Max Welz: Econometric Institute, Erasmus School of Economics, Burgemeester Oudlaan 50, NL-3062 PA Rotterdam, The Netherlands

Econometrics, 2022, vol. 10, issue 1, 1-16

Abstract: We propose a simple and reproducible methodology to create a single equation forecasting model (SEFM) for low-frequency macroeconomic variables. Our methodology is illustrated by forecasting annual real GDP growth rates for 52 African countries, where the data are obtained from the World Bank and start in 1960. The models include lagged growth rates of other countries, as well as a cointegration relationship to capture potential common stochastic trends. With a few selection steps, our methodology quickly arrives at a reasonably small forecasting model per country. Compared with benchmark models, the single equation forecasting models seem to perform quite well.

Keywords: forecasting; cointegration; annual real GDP growth; Africa (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2022
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