Kalman filter estimation of monthly U.S. oil imports

Harry Martz, Anthony Burris, Lawrence Bruckner and Robert Bivins

Energy, 1986, vol. 11, issue 3, 271-280

Abstract: The Kalman filter technique was used to forecast U.S. monthly oil imports with a two-month lead. The state equation used was an ARIMA (1, 1, 0) model, and the observation equation was a regression of the revised, estimated and company-forecasted values on the true values. Results indicate that the Kalman filter estimates are superior to the company-provided values. The total forecasts are in agreement with true values and lie within the 95% confidence bounds.

Date: 1986
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/036054428690085X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:11:y:1986:i:3:p:271-280

DOI: 10.1016/0360-5442(86)90085-X

Access Statistics for this article

Energy is currently edited by Henrik Lund and Mark J. Kaiser

More articles in Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().