Forecastability and statistical characteristics of aggregate oil and gas investments on the Norwegian Continental Shelf b
Sindre Lorentzen and
Additional contact information
Sindre Lorentzen: UiS, Postal: University of Stavanger, NO-4036 Stavanger, Norway
No 2016/9, UiS Working Papers in Economics and Finance from University of Stavanger
We investigate the potential for statistical forecasting of aggregate oil and gas investment on the Norwegian Continental Shelf (NCS). A unique and detailed dataset containing data from 109 different fields on the NCS between 1970 and 2015 was employed. A set of 1080 autoregressive distributed lag models are evaluated pseudo out-of-sample and tested for data mining by utilizing a Diebold-Mariano hypothesis test and the model confidence set procedure by Hansen and Lunde (2011). The main results are as follows. First, we find that it is indeed possible but challenging to outperform the parsimonious random walk benchmark in an out-of-sample environment. Second, lags of investment growth, crude oil price growth and realized volatility is found to be adequate predictors for the investment growth. Finally, there is a clear benefit from re-estimating the models coefficient at every step.
Keywords: Investment; oil and gas sector; Norwegian Continental Shelf; pseudo out-of-sample forecasting (search for similar items in EconPapers)
JEL-codes: C31 C52 D22 D92 E17 E22 E27 G31 (search for similar items in EconPapers)
Pages: 28 pages
New Economics Papers: this item is included in nep-ene and nep-mac
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://dl.dropboxusercontent.com/u/8078351/uis_wp ... entzen_osmundsen.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hhs:stavef:2016_009
Access Statistics for this paper
More papers in UiS Working Papers in Economics and Finance from University of Stavanger University of Stavanger, NO-4036 Stavanger, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Bernt Arne Odegaard ().