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We find that considerable reductions in mean\u2010squared prediction error relative to a no\u2010change benchmark can be achieved in real time for horizons of up to 2\u00a0years. A particularly promising model is a vector autoregressive (VAR) model that includes the fundamental determinants of supply and demand for natural gas. To capture real\u2010time data constraints of these and other predictors, we assemble a rich database of historical vintages from multiple sources. We also compare our model\u2010based forecasts to model\u2010free forecasts provided by experts and futures markets. Given that no single forecasting method dominates, we show that combining forecasts from individual models selected in real time using the model confidence set as a novel criterion for dynamic model selection delivers the most accurate forecasts.<\/jats:p>","DOI":"10.1002\/jae.70018","type":"journal-article","created":{"date-parts":[[2025,11,4]],"date-time":"2025-11-04T03:11:16Z","timestamp":1762225876000},"page":"139-155","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Forecasting Natural Gas Prices in Real Time"],"prefix":"10.1002","volume":"41","author":[{"given":"Christiane","family":"Baumeister","sequence":"first","affiliation":[{"name":"University of Notre Dame  Notre Dame Indiana USA"},{"name":"National Bureau of Economic Research  Cambridge Massachusetts USA"},{"name":"Centre for Economic Policy Research  London England UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Florian","family":"Huber","sequence":"additional","affiliation":[{"name":"University of Salzburg  Salzburg Austria"},{"name":"International Institute for Applied Systems Analysis  Laxenburg Austria"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Thomas K.","family":"Lee","sequence":"additional","affiliation":[{"name":"U.S. Energy Information Administration  Washington DC USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Francesco","family":"Ravazzolo","sequence":"additional","affiliation":[{"name":"BI Norwegian Business School  Oslo Norway"},{"name":"Free University of Bozen\u2010Bolzano, Faculty of Economics and Management  Bolzano South Tyrol Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2025,11,3]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.35.3.8"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol27-No2-4"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-12-822927-9.00022-7"},{"key":"e_1_2_9_5_1","doi-asserted-by":"crossref","unstructured":"Baumeister C. 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