The Way Forward

Hi everyone,

This first entry is simply to to inform you of the way forward that I have in mind. The series will commence with what is essentially a walk-through of the empirical work that became my Masters thesis. My masters thesis looked at how a movement of the exchange rate would likely impact upon South African real Gross Domestic Product (GDP), inflation as measured by the consumer price index (CPI) and the interest rate setting behaviour of the South African Reserve Bank (SARB). 

To undertake this analysis a vector autoregressive (VAR) model was estimated and structural analysis techniques were used to investigate the internal dynamics of the model. The structural analysis techniques that were used, and will be discussed, include impulse response functions (IRF), forecast error variance decompositions (FEVD) and dynamic multiplier functions.

This series of blog entries will take you through every step of the process behind the empirical estimation of the model. Everything from data gathering and graphing (I'll use Microsoft excel and Stata) to the complex issues of unit root testing (using various tests), high-pass filters, VARX estimation and impulse response functions.

I hope the topics mentioned above will be of interest to some of you. In the coming weeks I hope to also introduce my other research areas which include trade and energy. I've done some work using panel data models as well and error correction models and bounds testing and am eager to share what I can with everyone. 

Until next time