Subscribe Now Subscribe Today
Science Alert
 
FOLLOW US:     Facebook     Twitter
Blue
   
Curve Top
Journal of Applied Sciences
  Year: 2012 | Volume: 12 | Issue: 7 | Page No.: 645-652
DOI: 10.3923/jas.2012.645.652
 
Facebook Twitter Digg Reddit Linkedin StumbleUpon E-mail
Forecasting Key Macroeconomic Variables of the South African Economy using Bayesian Variable Selection
Mirriam Chitalu Chama-Chiliba, Rangan Gupta, Nonophile Nkambule and Naomi Tlotlego

Abstract:
This study analyzed the forecasting performances of various multivariate models in predicting 1-8-quarters-ahead of the growth rate of GDP, the consumer price index inflation rate and the three months Treasury bill rate for South Africa over an out-of-sample period of 2000:Q1-2011:Q2, using an in-sample period of 1960:Q1-1999:Q4. The study compared the forecasting performances of the classical and the Minnesota-type Bayesian vector autoregressive (VAR) models with those of linear (fixed-parameter) and nonlinear (time-varying parameter) VARs involving a stochastic search algorithm for variable selection, estimated using Markov Chain Monte Carlo methods. In general, the study finds that variable selection, whether imposed on a time-varying VAR or a fixed parameter VAR, and non-linearity in VARs, play an important part in improving predictions when compared to the linear fixed coefficients classical VAR. However, the results does not indicate marked gains in forecasting power across the different Bayesian models, as well as, over the classical VAR model, possibly because the problem of over parameterization in the classical VAR is not that acute in our three-variable system. Hence, future research would aim to look at VAR models that include over 10 variables.
PDF Fulltext XML References Citation Report Citation
 RELATED ARTICLES:
  •    Central Bank Independence and Inflation Targeting: Monetary Policy Framework for Sub-saharan Africa
  •    A Comparison of Univariate Time Series Methods for Forecasting Cocoa Bean Prices
  •    A Comparative Study of Neural Networks and Non-Parametric Regression Models for Trend and Seasonal Time Series
  •    The Choice of Monetary Policy Tool(s) and Relative Price Variability: Evidence from Turkey
How to cite this article:

Mirriam Chitalu Chama-Chiliba, Rangan Gupta, Nonophile Nkambule and Naomi Tlotlego, 2012. Forecasting Key Macroeconomic Variables of the South African Economy using Bayesian Variable Selection. Journal of Applied Sciences, 12: 645-652.

DOI: 10.3923/jas.2012.645.652

URL: https://scialert.net/abstract/?doi=jas.2012.645.652

 
COMMENT ON THIS PAPER
 
 
 

 

 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
 

       

       

Curve Bottom