Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets

Tian Zeng and Norman Swanson ()

Working Papers from Pennsylvania State - Department of Economics

Abstract: The predictive accuracy of various econometrics models, including random walks, vector autoregressive and vector error-correction models, are investigated using daily futures prices of 4 commodities (the S&P500 index, treasury bonds, gold and crude oil).

Keywords: FORECASTS; ECONOMIC MODELS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C51 C53 (search for similar items in EconPapers)
Pages: 39 pages
Date: 1997
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Citations: View citations in EconPapers (16)

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Journal Article: Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pensta:9-97-4

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