資源描述：
《Forecasting the South African Economy：A DSGE-VAR Approach》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在行業(yè)資料-天天文庫。
1、No.2008–32FORECASTINGTHESOUTHAFRICANECONOMY:ADSGE-VARAPPROACHByGuangling“Dave”Liu,RanganGupta,EricSchalingMarch2008ISSN0924-7815ForecastingtheSouthAfricanEconomy:ADSGE-VARApproachGuangling“Dave”Liu;?RanganGupta;?EricSchaling?§March,2008AbstractThispaper
2、developsanestimablehybridmodelthatcombinesthetheoreticalrigorofamicro-foundedDSGEmodelwiththe?exibilityofanatheoreticalVARmodel.ThemodelisestimatedviamaximumlikelihoodtechniquebasedonquarterlydataonrealGrossNationalProduct(GNP),consumption,investmentand
3、hoursworked,fortheSouthAfricaneconomy,overtheperiodof1970:1-2000:4.BasedonarecursiveestimationusingtheKalman?lteralgorithm,theout-of-sampleforecastsfromthehybridmodelarethencomparedwiththeforecastsgeneratedfromtheClassicalandBayesianvariantsoftheVARfort
4、heperiod2001:1-2005:4.Theresultsindicatethat,ingeneral,theestimatedhybridDSGEmodeloutperformstheClassicalVAR,butnottheBayesianVARsintermsofout-of-sampleforecastingperformances.JournalofEconomicLiteratureClassi?cation: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/sta?/schaling/§TheauthorswouldliketothankProfessorPeterN.Irelandforhisinvaluablecommentsandsuggestions.11IntroductionThecontroversyaboutmethodsforevaluatingtheempiricalrelevan
8、ceofeconomicmodelsisnotnew.However,twodistinctapproacheshasemergedsincetheearly1980s.First,thestandardeconometricapproachinwhichaneconomicmodelshouldbeembeddedwithinacompleteprobabilitymodelandanalyzedusingstatisticalmethods(Wats
