Forecasting the South African Economy：A DSGE-VAR Approach

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1、No.2008–32FORECASTINGTHESOUTHAFRICANECONOMY:ADSGE-VARAPPROACHByGuangling“Dave”Liu,RanganGupta,EricSchalingMarch2008ISSN0924-7815ForecastingtheSouthAfricanEconomy:ADSGE-VARApproachGuangling“Dave”Liu;∗RanganGupta;†EricSchaling‡§March,2008AbstractThispaper

2、developsanestimablehybridmodelthatcombinesthetheoreticalrigorofamicro-foundedDSGEmodelwiththeflexibilityofanatheoreticalVARmodel.ThemodelisestimatedviamaximumlikelihoodtechniquebasedonquarterlydataonrealGrossNationalProduct(GNP),consumption,investmentand

3、hoursworked,fortheSouthAfricaneconomy,overtheperiodof1970:1-2000:4.BasedonarecursiveestimationusingtheKalmanfilteralgorithm,theout-of-sampleforecastsfromthehybridmodelarethencomparedwiththeforecastsgeneratedfromtheClassicalandBayesianvariantsoftheVARfort

4、heperiod2001:1-2005:4.Theresultsindicatethat,ingeneral,theestimatedhybridDSGEmodeloutperformstheClassicalVAR,butnottheBayesianVARsintermsofout-of-sampleforecastingperformances.JournalofEconomicLiteratureClassification:E17,E27,E32,E37,E47.Keywords:DSGEMod

5、el;VARandBVARModel;ForecastAccuracy;DSGEForecasts;VARForecasts;BVARForecasts.∗ContactDetails:DepartmentofEconomics,UniversityofPretoria,Pretoria,0002,SouthAfrica,Email:dave.liu@up.ac.za.Phone:+27124203729,Fax:+27123625207.†Towhomcorrespondenceshouldbead

6、dressed.Contactdetails:Professor,DepartmentofEconomics,UniversityofPretoria,Pretoria,0002,SouthAfrica,Email:Rangan.Gupta@up.ac.za.Phone:+27124203460,Fax:+27123625207.‡SouthAfricanReserveBankChair,UniversityofPretoriaandCentERforEconomicResearch,TilburgU

7、niversity,TheNetherlands,Email:eric.schaling@up.ac.za.Webhttp://center.uvt.nl/staff/schaling/§TheauthorswouldliketothankProfessorPeterN.Irelandforhisinvaluablecommentsandsuggestions.11IntroductionThecontroversyaboutmethodsforevaluatingtheempiricalrelevan

8、ceofeconomicmodelsisnotnew.However,twodistinctapproacheshasemergedsincetheearly1980s.First,thestandardeconometricapproachinwhichaneconomicmodelshouldbeembeddedwithinacompleteprobabilitymodelandanalyzedusingstatisticalmethods(Wats