Forecasting the real prices of crude oil under economic and statistical constraints

Yudong Wang, Li Liu, Xundi Diao and Chongfeng Wu

Energy Economics, 2015, vol. 51, issue C, 599-608

Abstract: Forecasting the real oil prices is important but notoriously difficult. In this paper, we apply both economic and statistical restrictions to parameters of predictive regressions of real oil prices. We employ two popular criteria, mean predictive error (MSPE) and success ratio, to evaluate forecasting accuracy. Our out-of-sample results show that the benchmark of no-change model can be significantly outperformed by a model selection strategy with restricted models for longer horizons. The revealed predictability is further demonstrated to be robust to the adjustment of estimation windows and to an alternative benchmark model.

Keywords: Real oil price; Parameter restriction; Model selection; Forecasting (search for similar items in EconPapers)
JEL-codes: C53 E32 E37 E39 Q43 Q47 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:51:y:2015:i:c:p:599-608

DOI: 10.1016/j.eneco.2015.09.003

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