A Small-Scale DSGE Model for Forecasting the South African Economy
Guangling Liu () and
Rangan Gupta ()
No 200621, Working Papers from University of Pretoria, Department of Economics
This 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.
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: 18 pages
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Journal Article: A SMALL‐SCALE DSGE MODEL FOR FORECASTING THE SOUTH AFRICAN ECONOMY (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:200621
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