Targeted growth rates for long-horizon crude oil price forecasts

B-Tier
Journal: International Journal of Forecasting
Year: 2018
Volume: 34
Issue: 1
Pages: 1-16

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper proposes growth rate transformations with targeted lag selection in order to improve the long-horizon forecast accuracy. The method targets lower frequencies of the data that correspond to particular forecast horizons, and is applied to models of the real price of crude oil. Targeted growth rates can improve the forecast precision significantly at horizons of up to five years. For the real price of crude oil, the method can achieve a degree of accuracy up to five years ahead that previously has been achieved only at shorter horizons.

Technical Details

RePEc Handle
repec:eee:intfor:v:34:y:2018:i:1:p:1-16
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29