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- Title
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump.
- Authors
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K.
- Abstract
Appropriate real-time forecasting models for the US retail price of gasoline yield substantial reductions in the mean-squared prediction error (MSPE) at horizons up to 2 years as well as substantial increases in directional accuracy. Even greater MSPE reductions are possible by constructing a pooled forecast that assigns equal weight to five of the most successful forecasting models. Pooled forecasts have lower MSPE than the US Energy Information Administration gasoline price forecasts and the gasoline price expectations in the Michigan Survey of Consumers. We also show that as much as 39% of the decline in gas prices between June and December 2014 was predictable. Copyright © 2016 John Wiley & Sons, Ltd.
- Subjects
UNITED States; GAS prices; MATHEMATICAL models of forecasting; ECONOMIC forecasting; PRICE cutting; FORECASTING
- Publication
Journal of Applied Econometrics, 2017, Vol 32, Issue 2, p275
- ISSN
0883-7252
- Publication type
Article
- DOI
10.1002/jae.2510