Historically, time series forecasts of economic variables have used only a handful of predictor variables, while forecasts based on a large number of predictors have been the province of judgmental forecasts and large structural econometric models. The past decade, however, has seen considerable...

This paper develops an estimable hybrid model that combines the theoretical rigor of a micro-founded DSGE model with the flexibility of an atheoretical VAR model. The model is estimated via maximum likelihood technique based on quarterly data on real Gross National Product (GNP), consumption,...

This paper estimates Bayesian Vector Autoregressive (BVAR) models, both spatial and non-spatial (univariate and multivariate), for the twenty largest states of the US economy, using quarterly data over the period 1976:Q1 to 1994:Q4; and then forecasts one-to-four quarters-ahead real house price...

This paper develops an estimable hybrid model that combines the theoretical rigor of a micro-founded DSGE model with the flexibility of an atheoretical VAR model. The model is estimated via maximum likelihood technique based on quarterly data on real Gross National Product (GNP), consumption,...

This paper develops a New-Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model for forecasting the growth rate of output, inflation, and the nominal short-term interest rate (91 days Treasury Bill rate) for the South African economy. The model is estimated via maximum likelihood...

This paper uses a version of Hansen's (1985) Dynamic Stochastic General Equilibrium (DSGE) model to forecast the South African economy. The calibrated model, based on annual data over the period of 1970-2000, is used to generate one- to eight-quarters-ahead out-of-sample forecast errors for the...

New simple forms of deviation from rational expectations (RE) are suggested: temporary near-rational expectations (TNRE) and persistent near-rational expectations (PNRE). The medium-scale DSGE model was estimated with the RE, the TNRE and the PNRE. It was estimated with and without observations...