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Vector autoregression modelling and forecasting growth of South Korea

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  • Anita Ghatak

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.

Suggested Citation

  • Anita Ghatak, 1998. "Vector autoregression modelling and forecasting growth of South Korea," Journal of Applied Statistics, Taylor & Francis Journals, vol. 25(5), pages 579-592, June.
  • Handle: RePEc:taf:japsta:v:25:y:1998:i:5:p:579-592
    DOI: 10.1080/02664769822837
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    References listed on IDEAS

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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.
    2. Yuanyuan Chen & Changhe Lu, 2019. "Future Grain Consumption Trends and Implications on Grain Security in China," Sustainability, MDPI, Open Access Journal, vol. 11(19), pages 1-14, September.
    3. Sayef Bakari & Mohamed Mabrouki & Asma Elmakki, 2018. "The Nexus Between Industrial Exports And Economic Growth In Tunisia: Empirical Analysis," Journal of Smart Economic Growth, , vol. 3(2), pages 31-53, December.
    4. Alsaedi, Yasir Hamad & Tularam, Gurudeo Anand, 2020. "The relationship between electricity consumption, peak load and GDP in Saudi Arabia: A VAR analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 175(C), pages 164-178.
    5. Francisco Garcia-Blanch, 2001. "An Empirical Inquiry into the Nature of South Korean Economic Growth," CID Working Papers 74A, Center for International Development at Harvard University.

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