Forecasting Real GDP Growth for Africa

Philip Hans Franses*, Max Welz

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

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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.

Original languageEnglish
Article number3
JournalEconometrics
Volume10
Issue number1
DOIs
Publication statusPublished - 5 Jan 2022

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