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Precios de exportación de gas natural para Bolivia: Modelación y pooling de pronósticos

Aguilar, Ruben and Valdivia, Daney (2011): Precios de exportación de gas natural para Bolivia: Modelación y pooling de pronósticos.

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The boom of commodity prices was affected by the last economic crisis. The importance of these prices - forecasting – for small and developing countries becomes an important factor in the structure of their balance sheets.

In this context, we apply a pooling of different projections methods for fuel prices which are the determinants of natural gas export prices under each contract. The first three forecast methods of these fuels are developed in a short run model where in its dynamic structure is nested the long-term relationship between WTI and fuel prices and the fourth method is a univariate model by its components. The oil path price for the first three projections are also developed under three approaches: i) a GARCH model, ii) WTI future prices and iii) a dynamic GARCH model weighted by the forecast of global oil supply and only with reference purposes we made an ARIMA projection model by components.

The pool of projections permits us to evaluate gas export prices ex post. We conclude that the pooling of projections report best statistical properties.

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