Forecasting the South African Economy with Gibbs Sampled BVECMs
Rangan Gupta ()
No 200701, Working Papers from University of Pretoria, Department of Economics
The paper uses Gibbs sampling technique to estimate a heteroscedastic Bayesian Vector Error Correction Model (BVECM) of the South African economy for the period 1970:1-2000:4, and then forecast GDP, consumption, investment, short and long term interest rates, and the CPI over the period of 2001:1 to 2005:4. We find that a tight prior produces relatively more accurate forecasts than a loose one. The out-of-sample-forecast accuracy resulting from the Gibbs sampled BVECM is compared with those generated from a Classical VECM and a homoscedastic BVECM. The homoscedastic BVECM is found to produce the most accurate out of sample forecasts.
Keywords: VECM and BVECM; Forecast Accuracy; BVECM Forecasts; VECM Forecasts; Gibbs Sampling (search for similar items in EconPapers)
JEL-codes: E17 E27 E37 E47 (search for similar items in EconPapers)
Pages: 18 pages
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Journal Article: FORECASTING THE SOUTH AFRICAN ECONOMY WITH GIBBS SAMPLED BVECMs (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:200701
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