Krüger, Jens ; Ruths Sion, Sebastian (2019)
Improving Oil Price Forecasts by Sparse VAR Methods.
doi: 10.25534/tuprints-00009643
Report, Erstveröffentlichung
Kurzbeschreibung (Abstract)
In this paper we document the results of a forecast evaluation exercise for the real world price of crude oil using VAR models estimated by sparse (regularization) estimators. These methods have the property to constrain single parameters to zero. We find that estimating VARs with three core variables (real price of oil, index of global real economic activity, change in global crude oil production) by the sparse methods is associated with substantial reductions of forecast errors. The transformation of the variables (taking logs or differences) is also crucial. Extending the VARs by further variables is not associated with additonal gains in forecast performance as is the application of impulse indicator saturation before the estimation.
| Typ des Eintrags: | Report |
|---|---|
| Erschienen: | 2019 |
| Autor(en): | Krüger, Jens ; Ruths Sion, Sebastian |
| Art des Eintrags: | Erstveröffentlichung |
| Titel: | Improving Oil Price Forecasts by Sparse VAR Methods |
| Sprache: | Englisch |
| Publikationsjahr: | Dezember 2019 |
| Reihe: | Darmstadt Discussion Papers in Economics |
| Band einer Reihe: | 237 |
| DOI: | 10.25534/tuprints-00009643 |
| URL / URN: | https://tuprints.ulb.tu-darmstadt.de/9643 |
| Kurzbeschreibung (Abstract): | In this paper we document the results of a forecast evaluation exercise for the real world price of crude oil using VAR models estimated by sparse (regularization) estimators. These methods have the property to constrain single parameters to zero. We find that estimating VARs with three core variables (real price of oil, index of global real economic activity, change in global crude oil production) by the sparse methods is associated with substantial reductions of forecast errors. The transformation of the variables (taking logs or differences) is also crucial. Extending the VARs by further variables is not associated with additonal gains in forecast performance as is the application of impulse indicator saturation before the estimation. |
| URN: | urn:nbn:de:tuda-tuprints-96436 |
| Zusätzliche Informationen: | JEL classification: C32, Q47 |
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 300 Sozialwissenschaften > 330 Wirtschaft |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete > Fachgebiet Empirische Wirtschaftsforschung |
| Hinterlegungsdatum: | 08 Dez 2019 20:55 |
| Letzte Änderung: | 08 Dez 2019 20:55 |
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