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A large factor model for forecasting macroeconomic variables in South Africa

Citations

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Cited by:

  1. Hassani, Hossein & Silva, Emmanuel Sirimal & Gupta, Rangan & Das, Sonali, 2018. "Predicting global temperature anomaly: A definitive investigation using an ensemble of twelve competing forecasting models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 121-139.
  2. Poncela, Pilar & Ruiz Ortega, Esther, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS ws122317, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Binge, Laurie H. & Boshoff, Willem H., 2020. "Economic uncertainty in South Africa," Economic Modelling, Elsevier, vol. 88(C), pages 113-131.
  4. Byron Botha & Rulof Burger & Kevin Kotzé & Neil Rankin & Daan Steenkamp, 2023. "Big data forecasting of South African inflation," Empirical Economics, Springer, vol. 65(1), pages 149-188, July.
  5. Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
  6. Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini, 2015. "DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa," Applied Economics, Taylor & Francis Journals, vol. 47(3), pages 207-221, January.
  7. Balcilar, Mehmet & Gupta, Rangan & Kotzé, Kevin, 2015. "Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model," Economic Modelling, Elsevier, vol. 44(C), pages 215-228.
  8. Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2012. "Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System," Economics Series 292, Institute for Advanced Studies.
  9. Pavel Vidal Alejandro & Lya Paola Sierra Suárez & Johana Sanabria Dominguez & Jaime Andres Collazos Rodríguez, 2015. "Indicador mensual de actividad económica (IMAE) para el Valle del Cauca," Borradores de Economia 900, Banco de la Republica de Colombia.
  10. Mahmut Günay, 2015. "Forecasting Turkish Industrial Production Growth With Static Factor Models," International Econometric Review (IER), Economic Research Association, vol. 7(2), pages 64-78, September.
  11. repec:ipg:wpaper:2014-562 is not listed on IDEAS
  12. Karen Poghosyan, 2015. "Alternative models for forecasting the key macroeconomic variables in Armenia (in Russian)," Quantile, Quantile, issue 13, pages 25-39, May.
  13. Pavel Vidal Alejandro & Lya Paola Sierra Su�rez & Johana Sanabria Dominguez & Jaime Andres Collazos Rodr�guez, 2015. "Indicador mensual de actividad econ�mica (IMAE) para el Valle del Cauca," Borradores de Economia 13610, Banco de la Republica.
  14. Mauro Costantini & Ulrich Gunter & Robert M. Kunst, 2017. "Forecast Combinations in a DSGE‐VAR Lab," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(3), pages 305-324, April.
  15. Mandalinci, Zeyyad, 2017. "Forecasting inflation in emerging markets: An evaluation of alternative models," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1082-1104.
  16. Alain Kabundi & Elmarie Nel & Franz Ruch, 2016. "Nowcasting Real GDP growth in South Africa," ERSA Working Paper Series 581, Economic Research Southern Africa.
  17. Karen Poghosyan & Ruben Poghosyan, 2021. "On the Applicability of Dynamic Factor Models for Forecasting Real GDP Growth in Armenia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 71(1), pages 52-79, June.
  18. Duangnate, Kannika & Mjelde, James W., 2017. "Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals," Energy Economics, Elsevier, vol. 65(C), pages 411-423.
  19. Nana Kwame Akosah & Imhotep Paul Alagidede & Eric Schaling, 2024. "General Equilibrium Model for Monetary Policy Responses to Macroeconomic Instabilities in Developing Economy: A Ghanaian Perspective," South Asian Journal of Macroeconomics and Public Finance, , vol. 13(2), pages 213-272, December.
  20. Qin Zhang & He Ni & Hao Xu, 2023. "Forecasting models for the Chinese macroeconomy in a data‐rich environment: Evidence from large dimensional approximate factor models with mixed‐frequency data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 719-767, March.
  21. Zhang, Qin & Ni, He & Xu, Hao, 2023. "Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms," Economic Modelling, Elsevier, vol. 122(C).
  22. Annari De Waal & Rene頖an Eyden & Rangan Gupta, 2015. "Do we need a global VAR model to forecast inflation and output in South Africa?," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2649-2670, May.
  23. Patrick T. Kanda & Mehmet Balcilar & Pejman Bahramian & Rangan Gupta, 2016. "Forecasting South African inflation using non-linearmodels: a weighted loss-based evaluation," Applied Economics, Taylor & Francis Journals, vol. 48(26), pages 2412-2427, June.
  24. Hyun Hak Kim, 2013. "Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: The Case of Korea," Working Papers 2013-26, Economic Research Institute, Bank of Korea.
  25. Ulrich Gunter, 2019. "Estimating and forecasting with a two-country DSGE model of the Euro area and the USA: the merits of diverging interest-rate rules," Empirical Economics, Springer, vol. 56(4), pages 1283-1323, April.
  26. Hao XIAO & Xiaofen LI & Junyi YANG & Xinjian YE, 2025. "Can AI-Driven National ESG in Big Data Help Improve Macroeconomic Forecasting?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 84-103, July.
  27. Ibarra, Raul, 2012. "Do disaggregated CPI data improve the accuracy of inflation forecasts?," Economic Modelling, Elsevier, vol. 29(4), pages 1305-1313.
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