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The Role of the Prior in Estimating VAR Models with Sign Restrictions
Inoue, Atsushi; Kilian, Lutz - 2020
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR … that there is no evidence that typical sign-identified VAR models estimated using conventional priors tend to imply … estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from exactly the same conceptual …
Persistent link: https://www.econbiz.de/10014090346
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models 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/10011418016
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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
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/10011429580
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Are product spreads useful for forecasting? : an empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz - 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/10010200878
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Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 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/10010203447
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Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2014
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...
Persistent link: https://www.econbiz.de/10010336456
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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 has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10011434566
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Are there gains from pooling real-time oil price forecasts?
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas - 2014
The answer as to whether there are gains from pooling real-time oil price forecasts depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years. Even more...
Persistent link: https://www.econbiz.de/10010418248
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 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/10010409922
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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 has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10011452269