Replication Package for "Forecasting Oil and Natural Gas Prices: A Model Combination Approach"

Replication package for Aag, Bjørnland, and Eliassen, "Forecasting Oil and Natural Gas Prices: A Model Combination Approach," International Journal of Forecasting. Python code and data to reproduce all 10 tables (Tables 3–12) and 4 figures. Tables and figures reproduce in minutes from the included intermediary forecast files in data/output/; the underlying forecast models can be re-estimated from data/input/ via the scripts in models/. See README.txt for full instructions, data sources, and runtimes.