Baumeister, Christiane; Kilian, Lutz - In: Journal of Business & Economic Statistics 30 (2012) 2, pp. 326-336
We construct a monthly real-time dataset consisting of vintages for 1991.1--2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models. We document that revisions of the data typically represent news, and we introduce backcasting and nowcasting techniques...