Anton Pak, "Predicting Crude Oil Prices: Replication of the Empirical
Results in "What Do We Learn from the Price of Crude Oil", Journal of
Applied Econometrics, Vol. 33, No. 1, 2018, pp. 160-163.

This paper is a replication of the paper:

  Alquist, R. and Kilian, L. (2010). What do we learn from the price of
  crude oil futures? Journal of Applied Econometrics, Vol.25, No. 4,
  pp. 539-573. 

The data and the programs used in this paper are contained in the
file ap-data.zip. The first two columns in the data files (txt files)
contain the year and the month. Since all files are in DOS format,
Unix/Linux users should use "unzip -a".

The file wti_prices.txt contains the spot (column 3) and futures
prices (columns 4 to 10) for the WTI oil. The data for the spot prices
were obtained via U.S Energy Information Administration
(https://www.eia.gov) and the prices are taking at closing of the last
trading day of the month. Futures prices were obtained using
Datastream Database via Datastream in Excel plugin.

InterestRates.txt contains the data on Market yield on U.S. Treasury
securities at 3-month, 6-month, and 12-month constant maturities. The
data were obtained through the Federal Reserve Board of Governors
website (https://www.federalreserve.gov/datadownload/). The file 

dslag.txt contains the trailing geometric average of past changes in
the spot price of crude oil. 

The file ap-programs.zip contains the MATLAB codes. The original codes
were produced by Ron Alquist. The codes were verified and modified for
calculations and extensions in this replication paper. More details
are inside each code file that produced Table 1 and 2, as well as
Appendices A and B. The function files were generated by Ron Alquist
and used with no modifications. 


Anton Pak 
a.pak@uq.edu.au