What do we learn from the price of crude oil futures? (JAE 2010)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Ron Alquist, Lutz Kilian What do we learn from the price of crude oil futures? JAE 2010 4 539–73 C53, D51, G13, G15 -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 1 - accessible on journal website 1 - accessible on journal website Newey-West standard errors, Ordinary least squares (OLS), Bootstrap, Vector autoregression (VAR), Akaike information criterion (AIC), Wald test - daily prices of crude oil futures traded on the NYMEX from the commercial provider http://www.Price-Data.com 30 March 1983-28 February 2007, daily spot price data from, Datastream USA MATLAB

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Anton Pak Predicting crude oil prices: Replication of the empirical results in “What do we learn from the price of crude oil?” JAE 2018 1 160-3 - - - - - - -

References

DOI: 10.1002/jae.1159 IDEAS: a/jae/japmet/v25y2010i4p539-573.html EconPapers: RePEc:jae:japmet:v:25:y:2010:i:4:p:539-573


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