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The role of the prior in estimating VAR models with sign restrictions
Inoue, Atsushi; Kilian, Lutz - 2021
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR … distribution and show that there is no evidence that typical sign-identified VAR models estimated using conventional priors tend to … alternative Bayesian approach to estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from …
Persistent link: https://www.econbiz.de/10012669296
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Impulse response matching estimators for DSGE models
Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10010435454
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Impulse response matching estimators for DSGE models
Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Center for Financial Studies - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011097611
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Forty years of oil price fluctuations: Why the price of oil may still surprise us
Baumeister, Christiane; Kilian, Lutz - 2015
It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....
Persistent link: https://www.econbiz.de/10011412896
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Inside the crystal ball: New approaches to predicting the gasoline price at the pump
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K. - 2015
accuracy. The most accurate individual model is a VAR(1) model for real retail gasoline and Brent crude oil prices. Even …
Persistent link: https://www.econbiz.de/10010464595
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Understanding the decline in the price of oil since June 2014
Baumeister, Christiane; Kilian, Lutz - 2015
Some observers have conjectured that oil supply shocks in the United States and in other countries are behind the plunge in the price of oil since June 2014. Others have suggested that a major shock to oil price expectations occurred when in late November 2014 OPEC announced that it would...
Persistent link: https://www.econbiz.de/10010471535
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - Center for Financial Studies - 2014
Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a poor measure of the market expectation of the price of...
Persistent link: https://www.econbiz.de/10010958503
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Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - Center for Financial Studies - 2013
as 82 percent. This MIDAS forecast also is more accurate than a mixed-frequency realtime VAR forecast, but not …
Persistent link: https://www.econbiz.de/10010958584
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Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz - Center for Financial Studies - 2013
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...
Persistent link: https://www.econbiz.de/10010958778
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Forecasting the real price of oil in a changing world: A forecast combination approach
Baumeister, Christiane; Kilian, Lutz - Center for Financial Studies - 2013
The U.S. Energy Information Administration (EIA) regularly publishes monthly and quarterly forecasts of the price of crude oil for horizons up to two years, which are widely used by practitioners. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to...
Persistent link: https://www.econbiz.de/10010958803