The 67 references without contexts in paper Ron Alquist, Lutz Kilian, Robert J. Vigfusson (2011) “Forecasting the Price of Oil” / RePEc:bca:bocawp:11-15

1
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2
Almoguera, P.A., Douglas, C., and A.M. Herrera (2010), “Testing for the Cartel in OPEC: Noncooperative Collusion or Just Noncooperative?”, mimeo, Department of Economics, Michigan State University.
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3
Alquist, R., and L. Kilian (2010), “What Do We Learn from the Price of Crude Oil Futures?” Journal of Applied Econometrics, 25, 539-573.
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5
Anderson, S., Kellogg, R., and J. Sallee (2010), “What Do Consumers Know (or Think They Know) About the Price of Gasoline?” mimeo, Department of Economics, University of Michigan.
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6
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Bachmeier, L., Li, Q., and D. Liu (2008), “Should Oil Prices Receive So Much Attention? An Evaluation of the Predictive Power of Oil Prices for the US Economy,” Economic Inquiry, 46, 528-539.
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8
Balke, N.S., Brown, S.P.A., and M.K. Yücel (2002), “Oil Price Shocks and the U.S. Economy: Where Does the Asymmetry Originate?” Energy Journal, 23, 27‐52.
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9
Barsky, R.B., and L. Kilian (2002), “Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative,” in: NBER Macroeconomics Annual 2001, B.S. Bernanke and K. Rogoff (eds.), MIT Press: Cambridge, MA, 137-183.
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10
Basak, S., and A. Shapiro (2001), “Value-at-Risk Based Management: Optimal Policies and Asset Prices,” Review of Financial Studies, 14, 371–405.
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11
Baumeister, C., and L. Kilian (2011), “Real-Time Forecasts of the Real Price of Oil,” mimeo, Department of Economics, University of Michigan.
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12
Baumeister, C., and G. Peersman (2010), “Sources of the Volatility Puzzle in the Crude Oil Market,” mimeo, Department of Economics, Ghent University.
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16
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17
Busse, M., Knittel, C., and F. Zettelmeyer (2010), “Pain at the Pump: How Gasoline Prices Affect Automobile Purchasing,” mimeo, Northwestern University.
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20
Chen, Y.-C., Rogoff, K., and B. Rossi (2010), “Can Exchange Rates Forecast Commodity Prices?” forthcoming: Quarterly Journal of Economics.
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21
Clark, T.E., and M. McCracken (2001), “Tests of Equal Predictive Accuracy and Encompassing for Nested Models,” Journal of Econometrics, 105, 85-101.
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22
Clark, T.E., and M. McCracken (2005), “Evaluating Direct Multistep Forecasts,” Econometric Reviews, 24, 369-404.
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23
Clark, T.E., and M. McCracken (2010), “Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy,” mimeo, Federal Reserve Bank of St. Louis.
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24
Clark, T.E, and K.D. West (2006), “Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis,” Journal of Econometrics, 135, 155-186.
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25
Clark, T.E., and K.D. West (2007), “Approximately Normal Tests for Equal Predictive Accuracy in Nested Models,” Journal of Econometrics, 138, 291-311.
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26
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27
Corradi, V., and N.R. Swanson (2002), “A Consistent Test for Nonlinear Out of Sample Predictive Accuracy,” Journal of Econometrics, 110, 353-381.
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28
Corradi, V., and N.R. Swanson (2007), “Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes,” International Economic Review, 48, 67-109.
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29
Dargay, J.M., and D. Gately (2010), “World Oil Demand’s Shift toward Faster Growing and Less Price-Responsive Products and Regions,” Energy Policy, 38, 6261-6277.
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31
Davis, L.W., and L. Kilian (2011), “The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas”, forthcoming: Journal of Political Economy.
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32
Diebold, F.X., and R.S. Mariano (1995), “Comparing Predictive Accuracy,” Journal of Business and Economic Statistics, 13, 253-263.
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33
Dolado, J.J., and H. Lütkepohl (1996), “Making Wald Tests Work for Cointegrated VAR Systems,” Econometric Reviews, 15, 369-386.
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34
Dvir, E., and K. Rogoff (2010), “Three Epochs of Oil,” mimeo, Harvard University.
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35
Edelstein, P., and L. Kilian (2009), “How Sensitive are Consumer Expenditures to Retail Energy Prices?” Journal of Monetary Economics, 56, 766-779.
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36
Elder, J., and A. Serletis (2010), “Oil Price Uncertainty,” Journal of Money, Credit and Banking, 42, 1138-1159
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37
Elliott, G., and A. Timmermann (2008), “Economic Forecasting,” Journal of Economic Literature, 46, 3-56.
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38
Engle, R.F., and C.T. Brownlees (2010), “Volatility, Correlation and Tails for Systemic Risk Measurement,” mimeo, Stern School of Business, New York University.
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39
Farrell, A.E., and A.R. Brandt (2006), “Risks of the Oil Transition,” Environmental Research Letters, 1, 1-6.
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41
Giannone, D., Lenza, M. and G. Primiceri (2010), “Prior Selection for Vector Autoregressions,” mimeo, Department of Economics, Free University of Brussels.
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42
Gillman, M., and A. Nakov (2009), “Monetary Effects on Nominal Oil Prices,” North American Journal of Economics and Finance, 20, 239-254.
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44
Gonçalves, S., and L. Kilian (2004), “Bootstrapping Autoregressions in the Presence of Conditional Heteroskedasticity of Unknown Form,” Journal of Econometrics, 123, 89- 120.
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46
Green, E.J., and R.H. Porter (1984), “Noncooperative Collusion under Imperfect Price Information,” Econometrica, 52, 87-100.
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56
Hamilton, J.D., and A.M. Herrera (2004), “Oil Shocks and Aggregate Economic Behavior: The Role of Monetary Policy,” Journal of Money, Credit and Banking, 36, 265-286.
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58
Herrera, A.M., Lagalo, L.G., and T. Wada (2010), “Oil Price Shocks and Industrial Production: Is the Relationship Linear?” forthcoming: Macroeconomic Dynamics.
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61
Inoue, A., and L. Kilian (2004a), “In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?” Econometric Reviews, 23, 371-402.
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62
Inoue, A., and L. Kilian (2004b), “Bagging Time Series Models,” CEPR Discussion Paper No. 4333.
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63
Inoue, A., and L. Kilian (2006), “On the Selection of Forecasting Models,” Journal of Econometrics, 130, 273-306.
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65
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66
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69
Kilian, L. (1999), “Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?” Journal of Applied Econometrics, 14, 491-510.
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75
Kilian, L., and B. Hicks (2010), “Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?” mimeo, Department of Economics, University of Michigan.
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76
Kilian, L., and S. Manganelli (2007), “Quantifying the Risk of Deflation,” Journal of Money, Credit and Banking, 39, 561-590.
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77
Kilian, L., and S. Manganelli (2008), “The Central Banker as a Risk Manager: Estimating the Federal Reserve’s Preferences under Greenspan,” Journal of Money, Credit and Banking, 40, 1103-1129.
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78
Kilian, L., and D. Murphy (2010), “The Role of Inventories and Speculative Trading in the Global Market for Crude Oil,” mimeo, University of Michigan.
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79
Kilian, L., Rebucci, A., and N. Spatafora (2009), “Oil Shocks and External Balances,” Journal of International Economics, 77, 181-194.
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80
Kilian, L., and C. Vega (2010), “Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices,” Review of Economics and Statistics, 93, 660-671.
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81
Kilian, L., and R. Vigfusson (2010a), “Are the Responses of the U.S. Economy Asymmetric in Energy Price Increases and Decreases?” mimeo, Department of Economics, University of Michigan.
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82
Kilian, L., and R. Vigfusson (2010b), “Nonlinearities in the Oil Price-Output Relationship,” forthcoming: Macroeconomic Dynamics.
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83
Kilian, L., and R. Vigfusson (2010c), “Do Net Oil Price Increases Help Forecast U.S. Real GDP?” mimeo, Department of Economics, University of Michigan.
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85
Koop, G., Pesaran M.H., and S.M. Potter (1996), “Impulse Response Analysis in Nonlinear Multivariate Models,” Journal of Econometrics, 74, 119‐147.
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87
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88
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89
Marcellino, M., Stock, J.H., and M.W. Watson (2006), “A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series,” Journal of Econometrics, 135, 499-526.
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92
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94
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95
Ravazzolo, F., and P. Rothman (2010), “Oil and U.S. GDP: A Real Time Out-of-Sample Examination,” mimeo, Norges Bank.
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96
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97
Reichlin, L., Giannone, D., and D. Small (2008), “Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases,” Journal of Monetary Economics, 55, 665-676.
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98
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101
Stock, J.H., and M.W. Watson (1999), “Forecasting Inflation,” Journal of Monetary Economics, 44, 293-335.
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104
Waggoner, D.F., and T. Zha (1999), “Conditional Forecasts in Dynamic Multivariate Models,” Review of Economics and Statistics, 81, 639-651.
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106
Wu, T., and A. McCallum (2005), “Do Oil Futures Prices Help Predict Future Oil Prices?” Federal Reserve Bank of San Francisco Economic Letter, 2005-38.
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108
U.S. Dollars/Barrel U.S. Dollars/Barrel 1982-84 U.S. Dollars/Barrel 1982-84 U.S. Dollars/Barrel Percent Change Percent Change U.S. Dollars/Barrel Ave. Number of Open ContractsAve. Number of Contracts Traded Dollar per BarrelDollar per Barrel PercentPercentPercent Log Deviations from Mean Percent at Annual RatesPercent at Annual Rates Percent at Annual RatesPercent at Annual Rates Percent (Annual Rates)Recursive MSPE Ratio Percent (Annual Rates)Recursive MSPE Ratio PercentPercentPercent
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