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Vector autoregression modelling and forecasting growth of South Korea

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  • Anita Ghatak
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    Abstract

    In this paper, we have estimated vector autoregression (VAR), Bayesian vector autoregression (BVAR) and vector error-correction models (VECMs) using annual time-series data of South Korea for 1950-94. We find evidence supporting the view that growth of real per-capita income has been aided by income, investment and export growth, as well as government spending and exchange rate policies. The VECMs provide better forecasts of growth than do the VAR and BVAR models for both short-term and long-term predictions.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/02664769822837
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.

    Volume (Year): 25 (1998)
    Issue (Month): 5 ()
    Pages: 579-592

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    Handle: RePEc:taf:japsta:v:25:y:1998:i:5:p:579-592

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    1. Grossman, Gene M & Helpman, Elhanan, 1990. "Trade, Innovation, and Growth," American Economic Review, American Economic Association, vol. 80(2), pages 86-91, May.
    2. Pasaran, M.H. & Smith, R., 1995. "New Directions in Applied Macroeconomic Modelling," Cambridge Working Papers in Economics 9525, Faculty of Economics, University of Cambridge.
    3. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
    4. Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
    5. Romer, Paul M, 1986. "Increasing Returns and Long-run Growth," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1002-37, October.
    6. Robert J. Barro & Jong-Wha Lee, 1993. "Losers and Winners in Economic Growth," NBER Working Papers 4341, National Bureau of Economic Research, Inc.
    7. Hendry, David F. & Pagan, Adrian R. & Sargan, J.Denis, 1984. "Dynamic specification," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 18, pages 1023-1100 Elsevier.
    8. Paul Romer, 1991. "Are Nonconvexities Important For Understanding Growth?," NBER Working Papers 3271, National Bureau of Economic Research, Inc.
    9. Chishti, Salim U. & Hasan, M. Aynul & Mahmud, Syed F., 1992. "Macroeconometric modelling and Pakistan's economy : A vector autoregression approach," Journal of Development Economics, Elsevier, vol. 38(2), pages 353-370, April.
    10. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
    11. Dani Rodrik, 1994. "Getting Interventions Right: How South Korea and Taiwan Grew Rich," NBER Working Papers 4964, National Bureau of Economic Research, Inc.
    12. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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    Cited by:
    1. Anita Ghatak & Ferda Halicioglu, 2007. "Foreign direct investment and economic growth: some evidence from across the world," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 9(4), pages 381-394.

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