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Forecasting Real GDP Growth for Africa

Author

Listed:
  • Philip Hans Franses

    (Econometric Institute, Erasmus School of Economics, Burgemeester Oudlaan 50, NL-3062 PA Rotterdam, The Netherlands)

  • Max Welz

    (Econometric Institute, Erasmus School of Economics, Burgemeester Oudlaan 50, NL-3062 PA Rotterdam, The Netherlands)

Abstract

We propose a simple and reproducible methodology to create a single equation forecasting model (SEFM) for low-frequency macroeconomic variables. Our methodology is illustrated by forecasting annual real GDP growth rates for 52 African countries, where the data are obtained from the World Bank and start in 1960. The models include lagged growth rates of other countries, as well as a cointegration relationship to capture potential common stochastic trends. With a few selection steps, our methodology quickly arrives at a reasonably small forecasting model per country. Compared with benchmark models, the single equation forecasting models seem to perform quite well.

Suggested Citation

  • Philip Hans Franses & Max Welz, 2022. "Forecasting Real GDP Growth for Africa," Econometrics, MDPI, vol. 10(1), pages 1-16, January.
    • Handle: RePEc:gam:jecnmx:v:10:y:2022:i:1:p:3-:d:717851
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    References listed on IDEAS

    as
    1. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
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