Precios de exportación de gas natural para Bolivia: Modelación y pooling de pronósticos
[Bolivian natural gas export prices: Modeling and forecast pooling]
The boom of commodity prices was affected by the last economic crisis. The importance of these prices - forecasting – for small and developing countries becomes an important factor in the structure of their balance sheets. In this context, we apply a pooling of different projections methods for fuel prices which are the determinants of natural gas export prices under each contract. The first three forecast methods of these fuels are developed in a short run model where in its dynamic structure is nested the long-term relationship between WTI and fuel prices and the fourth method is a univariate model by its components. The oil path price for the first three projections are also developed under three approaches: i) a GARCH model, ii) WTI future prices and iii) a dynamic GARCH model weighted by the forecast of global oil supply and only with reference purposes we made an ARIMA projection model by components. The pool of projections permits us to evaluate gas export prices ex post. We conclude that the pooling of projections report best statistical properties.
|Date of creation:||10 Oct 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998.
"Forecasting Irish inflation using ARIMA models,"
Research Technical Papers
3/RT/98, Central Bank of Ireland.
- Deutsch, Melinda & Granger, Clive W. J. & Terasvirta, Timo, 1994. "The combination of forecasts using changing weights," International Journal of Forecasting, Elsevier, vol. 10(1), pages 47-57, June.
- Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2012. "Forecasting a monetary aggregate under instability: Argentina after 2001," International Journal of Forecasting, Elsevier, vol. 28(2), pages 412-427.
- Donald W.K. Andrews & Werner Ploberger, 1992.
"Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative,"
Cowles Foundation Discussion Papers
1015, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Elkin Castaño & Luis Fernando Melo, .
"Métodos de Combinación de Pronósticos: Una Aplicación a la Inflación Colombiana,"
Borradores de Economia
109, Banco de la Republica de Colombia.
- Elkin Castaño V. & Luis Fernando Melo Velandia, 1998. "Métodos De Combinación De Pronósticos:Una Aplicación A La Inflación Colombiana," BORRADORES DE ECONOMIA 003212, BANCO DE LA REPÚBLICA.
- Armstrong, J. Scott & Collopy, Fred, 1992. "Error measures for generalizing about forecasting methods: Empirical comparisons," International Journal of Forecasting, Elsevier, vol. 8(1), pages 69-80, June.
- Vega, Marco, 2003. "Reportando la distribución de la proyección de inflación," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 10.
- Coulson, N.E. & Robins, R.P., 1989. "Forecast Combination In A Dynamic Setting," Papers 8-88-4, Pennsylvania State - Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:35485. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.