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Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?

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  • Drachal, Krzysztof

Abstract

This paper is aimed on the analysis of monthly spot oil prices (WTI) between 1986 and 2015. The methodology is based on Dynamic Model Averaging (DMA) and Dynamic Model Selection (DMS) framework. The important feature of DMA method is an allowance for both time-varying coefficients and large state space model (i.e., the set of oil price determinants can change in time). Within this framework it was explicitly shown how the significance of oil price determinants vary in time. These determinants itself were chosen with respect to some previous studies. Contrary to the currently reported DMA applications in some other fields, no significant evidence was found that DMA is superior over, for example, ARIMA model. However, DMA could also not been rejected as a significantly worse model due to certain statistical tests. The performed DMA analysis was checked for robustness on various model parameters and for certain computational issues.

Suggested Citation

  • Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
    • Handle: RePEc:eee:eneeco:v:60:y:2016:i:c:p:35-46
    DOI: 10.1016/j.eneco.2016.09.020
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    More about this item

    Keywords

    Bayesian forecasting; Dynamic model averaging; DMA; Dynamic model selection; DMS; Forecasting oil price; Oil price; Predicting oil price; Spot oil price; Time-varying parameters;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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