specifications involving product spreads and compare these models to the no-change forecast of the real price of oil. We show that …

no-change forecast. Our key finding is that substantial reductions in the mean-squared prediction error (MSPE) of … greater reductions in MSPEs are possible by constructing a pooled forecast that assigns equal weight to five of the most …

alternatives and more economically plausible. We discuss implications of our analysis for the estimation of economic models of …

-time econometric oil price forecasting models. We investigate the merits of constructing combinations of six such models. Forecast … years suitably constructed real-time forecast combinations would have been systematically more accurate than the no …-change forecast at horizons up to 6 quarters or 18 months. MSPE reduction may be as high as 12% and directional accuracy as high as 72 …

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast …, including the question of whether financial market information helps forecast the real price of oil in physical markets. An … and statistically significant real-time improvements in forecast accuracy. The preferred MIDAS model reduces the MSPE by …

historical forecasts by professionals. The mean model forecast comes surprisingly close to the mean SPF and Greenbook forecasts … particularly well to professional forecasts at a horizon of three to four quarters and during recoveries. The extent of forecast … heterogeneity is similar for model and professional forecasts but varies substantially over time. Thus, forecast heterogeneity …