A reappraisal of real‐time forecasts of the real price of oil
复制Baumeister和Kilian 2012年的研究，重新评估原油实际价格的实时预测，发现模型预测在短期并不优于简单的月末无变化预测，只有基于期货的预测在长期才更准确。
Abstract We replicate Baumeister and Kilian's work done in 2012 to reappraise real‐time forecasts of the real price of crude oil against the end‐of‐month no‐change forecast, the equivalent naive benchmark used for asset prices. We find no consistently significant improvements in the predictive accuracy of model‐based forecasts over this naive benchmark at short horizons. Only futures‐based forecasts consistently outperform the end‐of‐month no‐change forecast, and only at longer horizons. These results challenge the consensus on the predictability of the real price of crude oil and the merits of alternative forecast approaches. Our findings motivate broader reassessment and replication of forecasting models of temporally aggregated series.