Arbeitspapier
Forecastability and Statistical Characteristics of Aggregate Oil and Gas Investments on the Norwegian Continental Shelf
We investigate the potential for statistical forecasting of aggregate oil and gas investment on the Norwegian Continental Shelf (NCS). A unique and detailed dataset containing data from 109 different fields on the NCS between 1970 and 2015 was employed. A set of 1080 autoregressive distributed lag models are evaluated pseudo out-of-sample and tested for data mining by utilizing a Diebold-Mariano hypothesis test and the model confidence set procedure by Hansen and Lunde (2011). The main results are as follows. First, we find that it is indeed possible but challenging to outperform the parsimonious random walk benchmark in an out-of-sample environment. Second, lags of investment growth, crude oil price growth and realized volatility is found to be adequate predictors for the investment growth. Finally, there is a clear benefit from re-estimating the models coefficient at every step.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 6113
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Model Evaluation, Validation, and Selection
Firm Behavior: Empirical Analysis
General Aggregative Models: Forecasting and Simulation: Models and Applications
Investment; Capital; Intangible Capital; Capacity
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
- Thema
-
investment
oil and gas sector
Norwegian Continental Shelf
pseudo out-of-sample forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lorentzen, Sindre
Osmundsen, Petter
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
- 10.03.2025, 10:42 UTC
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lorentzen, Sindre
- Osmundsen, Petter
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2016
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