Crude oil price point forecasts of the Norwegian GDP growth rate

Autor: Nima Nonejad
Rok vydání: 2020
Předmět:
Zdroj: Empirical Economics. 61:2913-2930
ISSN: 1435-8921
0377-7332
DOI: 10.1007/s00181-020-01964-7
Popis: Given the important role of the petroleum industry in the Norwegian economy, one would assume that changes in the price of crude oil would help greatly improve the accuracy of the Norwegian real gross domestic product growth rate point (density) forecasts out-of-sample. Surprisingly, evidence of one-quarter-ahead out-of-sample point (density) forecast accuracy gain relative to the benchmark model is very weak, at best close to 3%. Furthermore, results from the unconditional equal predictive ability test suggested in Diebold and Mariano (J Bus Econ Stat 13:253–263, 1995) document that these modest gains are not statistically significant. However, the null hypothesis of equal conditional predictive ability as specified in Giacomini and White (Econometrica 74:1545–1578, 2006) is rejected for a number of models. Moreover, by relying on the information provided by the conditioning variables used in the Giacomini and White (2006) test and devising a forecast selection strategy following Granziera and Sekhposyan (Int J Forecast 35:1636–1657, 2019), we succeed at obtaining point forecast accuracy gains as high as $$12\%$$ relative to the benchmark one-quarter ahead.
Databáze: OpenAIRE
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