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A Large Factor Model for Forecasting Macroeconomic Variables in South Africa

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  • Alain Kabundi
  • Rangan Gupta

Abstract

This paper uses large Factor Models (FMs) which accommodates a large cross-section of macroeconomic time series for forecasting per capita growth rate, inflation, and the nominal short-term interest rate for the South African economy. The FMs used in this study contains 267 quarterly series observed over the period of 1980Q1-2006Q4. The results, based on the […]

Suggested Citation

  • Alain Kabundi & Rangan Gupta, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:137
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    More about this item

    Keywords

    Bayesian analysis; econometric modelling; economic theory; Macroeconomic Models; South Africa;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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