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Predicting crude oil prices: Replication of the empirical results in “What do we learn from the price of crude oil?”
Author(s) -
Pak Anton
Publication year - 2017
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.2584
Subject(s) - replication (statistics) , futures contract , crude oil , econometrics , random walk , sample (material) , economics , spot contract , oil price , statistics , financial economics , mathematics , monetary economics , chemistry , petroleum engineering , engineering , chromatography
Summary In addition to their theoretical analysis of the joint determination of oil futures prices and oil spot prices, Alquist and Kilian ( Journal of Applied Econometrics , 2010, 25 (4), 539–573) compare the out‐of‐sample accuracy of the random walk forecast with that of forecasts based on oil futures prices and other predictors. The results of my replication exercise are very similar to the original forecast accuracy results, but the relative accuracy of the random walk forecast and the futures‐based forecast changes when the sample is extended to August 2016, consistent with the results of several other recent studies by Kilian and co‐authors.