Predicting crude oil prices: Replication of the empirical results in “What do we learn from the price of crude oil?”
复制了Alquist和Kilian（2010）关于原油期货与现货价格预测的研究，发现原始结果基本可复制，但将样本延长至2016年8月后，随机游走预测与基于期货的预测的相对准确性发生了变化。
Summary In addition to their theoretical analysis of the joint determination of oil futures prices and oil spot prices, Alquist and Kilian ( Journal of Applied Econometrics , 2010, 25 (4), 539–573) compare the out‐of‐sample accuracy of the random walk forecast with that of forecasts based on oil futures prices and other predictors. The results of my replication exercise are very similar to the original forecast accuracy results, but the relative accuracy of the random walk forecast and the futures‐based forecast changes when the sample is extended to August 2016, consistent with the results of several other recent studies by Kilian and co‐authors.