English, Article, Journal or magazine article edition: A Comparison of Multi-step GDP Forecasts for South Africa Guillaume Chevillon

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/20813
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Comparison of Multi-step GDP Forecasts for South Africa
Author
  • Guillaume Chevillon
Physical Description
  • preprint
Notes
  • RePEc:fce:doctra:0413
  • To forecast at several, say h, periods into the future, a modeller faces two techniques: iterating one-step ahead forecasts (the IMS technique) or directly modeling the relation betwen observations separated by an h-period interval and using it for forecasting (DMS forecasting). It is known that structural breaks, unit-root non-stationarity and residual autocorrelation benefit DMS accuracy in finite samples, all of which occuring when modelling the South African GDP over the last thirty years. This paper analyzes the forecasting properties of the model developed by Aron and Muellbauer (2002) and compares with them that of 30 derived or competing models. We find that the GDP of South Africa is best forecast, 4 quarters ahead, using the technique developed by these authors and its variants as derived in the present paper. Rankings of other models vary over time and it is difficult to recommend one of them as a rule in this exercise.
  • Multi-step Forecasting, Structural Breaks, Forecast Comparisons
  • RePEc:oxf:wpaper:212
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment