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Inside the crystal ball : new approaches to predicting the gasoline price at the pump

Baumeister, Christiane; Kilian, Lutz; Lee, Thomas - 2016

information. We explore several new forecasting approaches for the U.S. retail price of gasoline and compare their accuracy with …

Persistent link: https://www.econbiz.de/10011429580

Bootsstrapping smooth functions of slope parameters and innovation variances in var(∞)models

Inoue, Atsushi; Kilian, Lutz - In: International economic review 43 (2002) 2, pp. 309-331

Persistent link: https://www.econbiz.de/10001680467

The role of oil price shocks in causing U.S. recessions

Kilian, Lutz; Vigfusson, Robert J. - 2016

Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide a formal analysis of this question with special attention to the possible role...

Persistent link: https://www.econbiz.de/10011421672

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2016

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information …

Persistent link: https://www.econbiz.de/10011434566

Impulse response matching estimators for DSGE models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016

matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse … routinely in applied work. We establish the consistency of the impulse response matching estimator in this situation, we derive …

Persistent link: https://www.econbiz.de/10011418016