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Real-time forecasts of the real price of oil
Baumeister, Christiane; Kilian, Lutz - 2011
Persistent link: https://www.econbiz.de/10009260180
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Real-time forecasts of the real price of oil
Baumeister, Christiane; Kilian, Lutz - 2011
We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models. We document that revisions of the data typically represent news, and we introduce backcasting and nowcasting techniques...
Persistent link: https://www.econbiz.de/10009260885
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Inference on impulse response functions in structural VAR models
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10010189887
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Joint confidence sets for structual impulse responses
Inoue, Atsushi; Kilian, Lutz - 2014
Persistent link: https://www.econbiz.de/10010363307
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VAR models in macroeconomics - new developments and applications : essays in honor of Christopher A. Sims
Fomby, Thomas B. (ed.); Kilian, Lutz (ed.);  … - 2013 - 1. ed.
Persistent link: https://www.econbiz.de/10010230259
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The role of inventories and speculative trading in the global market for crude oil
Kilian, Lutz; Murphy, Daniel P. - In: Journal of applied econometrics 29 (2014) 3, pp. 454-478
Persistent link: https://www.econbiz.de/10010414884
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A practitioner's guide to lag-order selection for vector autoregressions
Ivanov, Ventzislav; Kilian, Lutz - 2000
Persistent link: https://www.econbiz.de/10001464030
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Residual-based tests for normality in autoregressions : asymptotic theory and simulation evidence
Kilian, Lutz; Demiroğlu, Ufuk - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 40-50
Persistent link: https://www.econbiz.de/10001441595
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A practitioner's guide to lag order selection for VAR impulse reponse analysis
Ivanov, Ventzislav (contributor); Kilian, Lutz (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10003283144
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Why agnostic sign restrictions are not enough : understanding the dynamics of oil market VAR models
Kilian, Lutz; Murphy, Daniel P. - In: Journal of the European Economic Association 10 (2012) 5, pp. 1166-1188
Persistent link: https://www.econbiz.de/10009684191