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On the selection of forecasting models
Inoue, Atsushi; Kilian, Lutz - 2003
It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...
Persistent link: https://www.econbiz.de/10009639853
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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 - C.E.P.R. Discussion Papers - 2015
Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore a range of new forecasting...
Persistent link: https://www.econbiz.de/10011145393
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Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and … evaluating the risks underlying these forecasts. We show how policy-relevant forecast scenarios can be constructed from recently … to these scenarios affect the upside and downside risks embodied in the baseline real-time oil price forecast. Such risk …
Persistent link: https://www.econbiz.de/10009385759
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Forecasting the Price of Oil
Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - Bank of Canada - 2011
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable...
Persistent link: https://www.econbiz.de/10009326651
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Real-Time Forecasts of the Real Price of Oil
Baumeister, Christiane; Kilian, Lutz - Bank of Canada - 2011
hypothetical scenarios about future demand and supply conditions in the market for crude oil. These tools are designed to allow …
Persistent link: https://www.econbiz.de/10009326652
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Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
Baumeister, Christiane; Kilian, Lutz - Bank of Canada - 2013
The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to replicate and justify, and not particularly successful when compared with naïve...
Persistent link: https://www.econbiz.de/10010686952
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Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - Bank of Canada - 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/10010762047
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What Central Bankers Need to Know about Forecasting Oil Prices
Baumeister, Christiane; Kilian, Lutz - Bank of Canada - 2013
Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions....
Persistent link: https://www.econbiz.de/10010667181
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Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - Bank of Canada - 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/10010849957
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Are there gains from pooling real-time oil price forecasts?
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K. - In: Energy Economics 46 (2014) S1, pp. 33-33
The answer 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 accurate forecasts, however, are obtained when allowing the forecast...
Persistent link: https://www.econbiz.de/10011115915