Nothing Special   »   [go: up one dir, main page]
create a website
Forecasting Core Inflation: The Case of South Africa. (2015). Ruch, Franz ; GUPTA, RANGAN ; Balcilar, Mehmet ; Modise, Mampho P ; Balcilarauthor-Name, Mehmet .
In: Working Papers.
RePEc:emu:wpaper:15-08.pdf.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 35

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Alessi, L., M. Barigozzi, and M. Capasso (2010). Improved penalization for determining the number of factors in approximate factor models. Statistics & Probability Letters 80(23), 1806–1813.

  2. Ang, A. and G. Bekaert (2002). Regime switches in interest rates. Journal of Business & Economic Statistics 20(2), 163–182.

  3. Ba nbura, M., D. Giannone, and L. Reichlin (2010). Large bayesian vector auto regressions. Journal of Applied Econometrics 25(1), 71–92.

  4. Bahramian, P., M. Balcilar, R. Gupta, and P. T. Kanda (2014). Forecasting south african inflation using non-linear models: A weighted loss-based evaluation. Technical report.

  5. Bai, J. and S. Ng (2002). Determining the number of factors in approximate factor models. Econometrica 70(1), 191–221.

  6. Bauwens, L., G. Koop, D. Korobilis, and J. V. Rombouts (2011). A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models. CIRANO-Scientific Publications (2011s-13).

  7. Blignaut, Z., G. Farrell, V. Munyama, and L. Rangasamy (2009). A note on the trimmed mean measure of core inflation in south africa. South African Journal of Economics 77(4), 538–552.

  8. Bryan, M. F. and S. Cecchetti (1993). The consumer price index as a measure of inflation. Economic Review (Q IV), 15–24.

  9. Bryan, M. F. and S. G. Cecchetti (1994). Measuring core inflation. In Monetary Policy, pp. 195–219. The University of Chicago Press.

  10. Camba-Mendez, G. and G. Kapetanios (2005). Forecasting euro area inflation using dynamic factor measures of underlying inflation. Journal of Forecasting 24(7), 491–503.

  11. Chib, S. (1998). Estimation and comparison of multiple change-point models. Journal of econometrics 86(2), 221–241.

  12. Clements, M. and D. Hendry (1998). Forecasting economic time series. Cambridge University Press.

  13. Ding, S. and S. Karlsson (2014). Model averaging and variable selection in var models.
    Paper not yet in RePEc: Add citation now

  14. Du Plessis, S., G. Du Rand, and K. Kotzé (2015). Measuring core inflation in south africa. South African Journal of Economics.

  15. Fagin, S. L. (1964). Recursive linear regression theory, optimal filter theory, and error analysis of optimal systems. In IEEE International Convention Record, Volume 12, pp. 216–245.
    Paper not yet in RePEc: Add citation now
  16. Frühwirth-Schnatter, S. (2006). Finite mixture and Markov switching models. Springer Science & Business Media.
    Paper not yet in RePEc: Add citation now

  17. Gupta, R., P. T. Kanda, M. P. Modise, and A. Paccagnini (2015). Dsge model-based forecasting of modelled and nonmodelled inflation variables in south africa. Applied Economics 47(3), 207–221.

  18. Hallin, M. and R. Liška (2007). Determining the number of factors in the general dynamic factor model. Journal of the American Statistical Association 102(478), 603–617.

  19. Jazwinski, A. H. (2007). Stochastic processes and filtering theory. Courier Corporation.
    Paper not yet in RePEc: Add citation now

  20. Kapetanios, G. (2004). A note on modelling core inflation for the uk using a new dynamic factor estimation method and a large disaggregated price index dataset. Economics Letters 85(1), 63–69.

  21. Koop, G. and D. Korobilis (2012). Forecasting inflation using dynamic model averaging*. International Economic Review 53(3), 867–886.

  22. Koop, G. and D. Korobilis (2013). Large time-varying parameter vars. Journal of Econometrics 177(2), 185–198.

  23. Koop, G. and S. M. Potter (2007). Estimation and forecasting in models with multiple breaks. The Review of Economic Studies 74(3), 763–789.

  24. Morana, C. (2007). A structural common factor approach to core inflation estimation and forecasting. Applied Economics Letters 14(3), 163–169.

  25. Onatski, A. (2010). Determining the number of factors from empirical distribution of eigenvalues. The Review of Economics and Statistics 92(4), 1004–1016.

  26. Pesaran, M. H., D. Pettenuzzo, and A. Timmermann (2006). Forecasting time series subject to multiple structural breaks. The Review of Economic Studies 73(4), 1057–1084.

  27. Raftery, A. E., M. Kárn` y, and P. Ettler (2010). Online prediction under model uncertainty via dynamic model averaging: Application to a cold rolling mill. Technometrics 52(1), 52–66.
    Paper not yet in RePEc: Add citation now
  28. Raftery, A. E., T. Gneiting, F. Balabdaoui, and M. Polakowski (2005). Using bayesian model averaging to calibrate forecast ensembles. Monthly Weather Review 133(5), 1155–1174.
    Paper not yet in RePEc: Add citation now

  29. Ranchhod, S. et al. (2013). Measures of new zealand core inflation. Reserve Bank of New Zealand Bulletin 76(1).

  30. Rangasamy, L. (2009). Inflation persistence and core inflation: The case of south africa. South African Journal of Economics 77(3), 430–444.

  31. RiskMetrics (1996). Technical document. New York-JP Morgan.
    Paper not yet in RePEc: Add citation now

  32. Stock, J. H. and M. W. Watson (1996). Evidence on structural instability in macroeconomic time series relations. Journal of Business & Economic Statistics 14(1), 11–30.

  33. Stock, J. H. and M. W. Watson (1999). Forecasting inflation. Journal of Monetary Economics 44(2), 293–335.

  34. Sun, T. (2004). Forecasting Thailand’s core inflation. Number 4-90. International Monetary Fund.
    Paper not yet in RePEc: Add citation now

  35. Woglom, G. (2005). Forecasting south african inflation. South African Journal of Economics 73(2), 302–320.

Cocites

Documents in RePEc which have cited the same bibliography

  1. On the applicability of dynamic factor models for forecasting real GDP growth in Armenia. (2021). Poghosyan, Karen.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0411.

    Full description at Econpapers || Download paper

  2. Housing Demand Shocks and Households’ Balance Sheets. (2021). Anderes, Marc.
    In: KOF Working papers.
    RePEc:kof:wpskof:21-492.

    Full description at Econpapers || Download paper

  3. Nonlinear factor models for network and panel data. (2021). Fernandez-Val, Ivan ; Weidner, Martin ; Chen, Mingli.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:220:y:2021:i:2:p:296-324.

    Full description at Econpapers || Download paper

  4. Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo.
    In: Papers.
    RePEc:arx:papers:1708.02786.

    Full description at Econpapers || Download paper

  5. Efficient estimation of approximate factor models via penalized maximum likelihood. (2016). Liao, Yuan ; Bai, Jushan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:1:p:1-18.

    Full description at Econpapers || Download paper

  6. Forecasting Core Inflation: The Case of South Africa. (2015). Ruch, Franz ; GUPTA, RANGAN ; Balcilar, Mehmet ; Modise, Mampho P..
    In: Working Papers.
    RePEc:pre:wpaper:201543.

    Full description at Econpapers || Download paper

  7. Global and country-specific factors in real effective exchange rates. (2015). Nagayasu, Jun.
    In: MPRA Paper.
    RePEc:pra:mprapa:64217.

    Full description at Econpapers || Download paper

  8. Forecasting Core Inflation: The Case of South Africa. (2015). Ruch, Franz ; GUPTA, RANGAN ; Balcilar, Mehmet ; Modise, Mampho P ; Balcilarauthor-Name, Mehmet .
    In: Working Papers.
    RePEc:emu:wpaper:15-08.pdf.

    Full description at Econpapers || Download paper

  9. Geographical diversification with a World Volatility Index. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:30:y:2015:i:c:p:62-82.

    Full description at Econpapers || Download paper

  10. A cross-volatility index for hedging the country risk. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:25-41.

    Full description at Econpapers || Download paper

  11. Cross-market volatility index with Factor-DCC. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:132-140.

    Full description at Econpapers || Download paper

  12. Asymptotic analysis of the squared estimation error in misspecified factor models. (2015). Onatski, Alexei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:2:p:388-406.

    Full description at Econpapers || Download paper

  13. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:185:y:2015:i:2:p:359-371.

    Full description at Econpapers || Download paper

  14. Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates using Panel Data Econometric Methods. (2015). Rezitis, Anthony.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2015-03-28.

    Full description at Econpapers || Download paper

  15. Labour market adjustments in Europe and the US: How different?. (2015). Smets, Frank ; Beyer, Robert ; Beyer, Robert C. M., .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151767.

    Full description at Econpapers || Download paper

  16. Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment. (2015). Ruiz, Esther ; Poncela, Pilar.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws1502.

    Full description at Econpapers || Download paper

  17. Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10618.

    Full description at Econpapers || Download paper

  18. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-58.

    Full description at Econpapers || Download paper

  19. Supervision in Factor Models Using a Large Number of Predictors. (2015). Hillebrand, Eric ; Boldrini, Lorenzo .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-38.

    Full description at Econpapers || Download paper

  20. Lending standards, credit booms and monetary policy. (2014). Güntner, Jochen ; Afanasyeva, Elena ; Guntner, Jochen.
    In: IMFS Working Paper Series.
    RePEc:zbw:imfswp:85.

    Full description at Econpapers || Download paper

  21. Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities. (2014). Schorfheide, Frank ; Liao, Zhipeng ; Cheng, Xu.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19792.

    Full description at Econpapers || Download paper

  22. Lending Standards, Credit Booms and Monetary Policy. (2014). Güntner, Jochen ; Afanasyeva, Elena ; Guntner, Jochen.
    In: Economics working papers.
    RePEc:jku:econwp:2014_11.

    Full description at Econpapers || Download paper

  23. Cross-market index with Factor-DCC. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:158-166.

    Full description at Econpapers || Download paper

  24. Selection of the number of factors in presence of structural instability: a Monte Carlo study. (2014). Stevanovic, Dalibor ; MAO TAKONGMO, Charles Olivier.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2014s-44.

    Full description at Econpapers || Download paper

  25. Nowcasting global economic growth: A factor-augmented mixed-frequency approach.. (2014). Marsilli, Clément ; Ferrara, Laurent.
    In: Working papers.
    RePEc:bfr:banfra:515.

    Full description at Econpapers || Download paper

  26. Important Channels of Transmission Monetary Policy Shock in South Africa. (2013). Kabundi, Alain ; Ndou, Eliphas ; Nombulelo Gumata, Alain Kabundi, .
    In: Working Papers.
    RePEc:rza:wpaper:375.

    Full description at Econpapers || Download paper

  27. Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors. (2013). Miller, Stephen ; GUPTA, RANGAN ; Balcilar, Mehmet ; Aye, Goodness C..
    In: Working Papers.
    RePEc:pre:wpaper:201348.

    Full description at Econpapers || Download paper

  28. Shrinkage estimation of high-dimensional factor models with structural instabilities. (2013). Schorfheide, Frank ; Liao, Zhipeng ; Cheng, Xu.
    In: Working Papers.
    RePEc:fip:fedpwp:14-4.

    Full description at Econpapers || Download paper

  29. The common component of firm growth. (2013). Capasso, Marco ; Barigozzi, Matteo ; Alessi, Lucia.
    In: Structural Change and Economic Dynamics.
    RePEc:eee:streco:v:26:y:2013:i:c:p:73-82.

    Full description at Econpapers || Download paper

  30. Factor models in high-dimensional time series—A time-domain approach. (2013). Lippi, Marco ; Hallin, Marc.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2678-2695.

    Full description at Econpapers || Download paper

  31. Dynamic factor Value-at-Risk for large heteroskedastic portfolios. (2013). Wu, Jason ; Giudice Rodriguez, Marius del, ; Aramonte, Sirio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4299-4309.

    Full description at Econpapers || Download paper

  32. Dynamic Factor Models: A review of the Literature .. (2013). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier ; Darne, O..
    In: Working papers.
    RePEc:bfr:banfra:430.

    Full description at Econpapers || Download paper

  33. Uncertainty and heterogeneity in factor models forecasting. (2013). Monteforte, Libero ; Luciani, Matteo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_930_13.

    Full description at Econpapers || Download paper

  34. Do euro area countries respond asymmetrically to the common monetary policy?. (2013). Luciani, Matteo ; Conti, Antonio ; Barigozzi, Matteo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_923_13.

    Full description at Econpapers || Download paper

  35. Identifying the Independent Sources of Consumption Variation. (2012). Moneta, Alessio ; Barigozzi, Matteo.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2012/16.

    Full description at Econpapers || Download paper

  36. An alternative business cycle dating procedure for South Africa. (2012). Ruch, Franz ; Bosch, Adl .
    In: Working Papers.
    RePEc:rza:wpaper:267.

    Full description at Econpapers || Download paper

  37. Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment. (2012). GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201214.

    Full description at Econpapers || Download paper

  38. Efficient Estimation of Approximate Factor Models. (2012). Liao, Yuan ; Bai, Jushan.
    In: MPRA Paper.
    RePEc:pra:mprapa:41558.

    Full description at Econpapers || Download paper

  39. Do Euro area countries respond asymmetrically to the common monetary policy?. (2012). Luciani, Matteo ; Barigozzi, Matteo ; Conti, Antonio .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:43344.

    Full description at Econpapers || Download paper

  40. Do disaggregated CPI data improve the accuracy of inflation forecasts?. (2012). Ibarra, Raul.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:4:p:1305-1313.

    Full description at Econpapers || Download paper

  41. Short-term forecasting of the Japanese economy using factor models. (2012). Lombardi, Marco ; Godbout, Claudia .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121428.

    Full description at Econpapers || Download paper

  42. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations. (2012). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/134458.

    Full description at Econpapers || Download paper

  43. Monetary Policy and the Housing Market: A Structural Factor Analysis. (2012). Luciani, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/129931.

    Full description at Econpapers || Download paper

  44. A model for vast panels of volatilities. (2012). Veredas, David ; Luciani, Matteo.
    In: Working Papers.
    RePEc:bde:wpaper:1230.

    Full description at Econpapers || Download paper

  45. Short-Term Forecasting of the Japanese Economy Using Factor Models. (2012). Lombardi, Marco ; Godbout, Claudia .
    In: Staff Working Papers.
    RePEc:bca:bocawp:12-7.

    Full description at Econpapers || Download paper

  46. One-Sided Representations of Generalized Dynamic Factor Models. (2011). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: DSS Empirical Economics and Econometrics Working Papers Series.
    RePEc:sas:wpaper:20115.

    Full description at Econpapers || Download paper

  47. Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets. (2011). Kabundi, Alain ; Duncan, Andrew.
    In: Working Papers.
    RePEc:rza:wpaper:253.

    Full description at Econpapers || Download paper

  48. Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors. (2011). Uwilingiye, Josine ; GUPTA, RANGAN ; Modise, Mampho P..
    In: Working Papers.
    RePEc:pre:wpaper:201122.

    Full description at Econpapers || Download paper

  49. Forecasting economic growth in the euro area during the Great Moderation and the Great Recession. (2011). Maier, Philipp ; Lombardi, Marco.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20111379.

    Full description at Econpapers || Download paper

  50. One-Sided Representations of Generalized Dynamic Factor Models. (2011). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/94959.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-16 01:16:50 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.