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The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach

Gil-Alana, Luis A; André, Christophe; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2015

The Feldstein-Horioka (FH) puzzle, that is the strong correlation between saving and investment in a world where obstacles to capital mobility are limited, has been studied extensively since it was exposed in 1980. Even though the theoretical and empirical literature has examined many of its...

Persistent link: https://www.econbiz.de/10011149762

Seasonality and Fractional Integration in the Sea Level Rise and Surface Temperature Data along the Barrier Coast of Nigeria

Yaya, OlaOluwa S.; Gil-Alana, Luis A.; Fashae, Oluwatoyin A. - Department of Economics, Faculty of Economic and … - 2015

This paper examines the time series properties of sea level rise and the surface temperature data along the Barrier Coast of Nigeria. In particular, we focus on the seasonality and the degree of persistence of the series, measured in terms of seasonal and non-seasonal unit roots along with...

Persistent link: https://www.econbiz.de/10011220718

Predicting BRICS Stock Returns Using ARFIMA Models

Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2012

using a variety of estimation procedures yield better forecasting results than the non-ARFIMA (AR, MA, ARMA and GARCH …

Persistent link: https://www.econbiz.de/10010765632

Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models

Majumdar, Anandamayee; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

benchmarks (naive and autoregressive models) in forecasting real US house price over the annual out-of-sample period of 1859 …

Persistent link: https://www.econbiz.de/10011149761

Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors

Aye, Goodness C.; Miller, Stephen M.; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2013

20 bivariate regression models, are used in order to capture the influence of fundamentals in forecasting residential …

Persistent link: https://www.econbiz.de/10011149763

Oil Price Forecastability and Economic Uncertainty

Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Department of Economics, Faculty of Economic and … - 2015

Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coefficient approach. In this work, we compare the forecastability of standard, Bayesian...

Persistent link: https://www.econbiz.de/10011214021

Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality

Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

Using forecasts of the inflation rate in South Africa, we study the rationality of forecasts and the shape of forecasters’ loss function. When we study micro-level data of individual forecasts, we find mixed evidence of an asymmetric loss function, suggesting that inflation forecasters are...

Persistent link: https://www.econbiz.de/10011196001

Forecasting the US CPI: Does Nonlinearity Matter?

Álvarez-Díaz, Marcos; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

forecasting gains are not significant relative to higher-order AR and nonlinear models, though simple benchmarks like the RW and … AR(1) models are statistically outperformed. Overall, we show that in terms of forecasting the US CPI, accounting for …

Persistent link: https://www.econbiz.de/10011196639

Was the Recent Downturn in US GDP Predictable?

Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee; … - Department of Economics, Faculty of Economic and … - 2012

-stochastic-general-equilibrium models of the economy, may prove crucial in forecasting turning points. …

Persistent link: https://www.econbiz.de/10011201327

Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection

Chama-Chiliba, Mirriam Chitalu; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2011

We compare the forecasting performances of the classical and the Minnesota-type Bayesian vector autoregressive (VAR … algorithm for variable selection, estimated using Markov Chain Monte Carlo methods. In this regard, we analyze the forecasting … the linear fixed coefficients classical VAR. However, we do not observe marked gains in forecasting power across the …

Persistent link: https://www.econbiz.de/10009369165