Muñoz, Ercio; Ricaurte, Miguel; Siravegna, Mariel - Banco Central de Chile - 2012
This paper conducts an exhaustive out-of-sample forecasting evaluation exercise for the monthly price of crude oil between 1992 and 2011. The idea is to identify the forecasting strategy that results in the “best” forecasts in terms of mean forecasting error. To this end, a wide variety of...