Oil and US GDP: A Real-Time out-of Sample Examination

Francesco Ravazzolo and Philip Rothman ()

No No 2/2011, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School

Abstract: We study the real-time predictive content of crude oil prices for US real GDP growth through a pseudo out-of-sample (OOS) forecasting exercise. Comparing our benchmark model ?withoutoil? against alternatives ?with oil,? we strongly reject the null hypothesis of no OOS population-level predictability from oil prices to GDP at the longer forecast horizon we consider. These results may be due to our oil price measures serving as proxies for a recently developed measure of global real economic activity omitted from the alternatives to the benchmark forecasting models. This examination of the global OOS relative performance of the models we consider is robust to use of ex-post revised data. But when we focus on the forecasting models? local relative performance, we observe strong differences across use of real-time and ex-post revised data.

JEL-codes: C22 C53 E32 E37 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2011-11
New Economics Papers: this item is included in nep-ene and nep-for
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Related works:
Journal Article: Oil and U.S. GDP: A Real-Time Out-of-Sample Examination (2013)
Journal Article: Oil and U.S. GDP: A Real‐Time Out‐of‐Sample Examination (2013)
Working Paper: Oil and US GDP: A real-time out-of-sample examination (2010)
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