| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10075 |
| DP10075 Are there Gains from Pooling Real-Time Oil Price Forecasts? | |
| Lutz Kilian; Christiane Baumeister | |
| 发表日期 | 2014-07-27 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | 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 combinations to vary across forecast horizons. While the latter approach is not always more accurate than selecting the single most accurate forecasting model by horizon, its accuracy can be shown to be much more stable over time. The MSPE of real-time pooled forecasts is between 3% and 29% lower than that of the no-change forecast and its directional accuracy as high as 73%. Our results are robust to alternative oil price measures and apply to monthly as well as quarterly forecasts. We illustrate how forecast pooling may be used to produce real-time forecasts of the real and the nominal price of oil in a format consistent with that employed by the U.S. Energy Information Administration in releasing its short-term oil price forecasts, and we compare these forecasts during key historical episodes. |
| 主题 | International Macroeconomics |
| 关键词 | Forecast combination Forecast pooling Oil price Real-time data Refiners' acquisition cost Wti |
| URL | https://cepr.org/publications/dp10075 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538908 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Christiane Baumeister. DP10075 Are there Gains from Pooling Real-Time Oil Price Forecasts?. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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