Evaluating information in multiple horizon forecasts: The DOE's energy price forecasts

Dwight R. Sanders, Mark Manfredo, Keith Boris

Research output: Contribution to journalArticle

18 Scopus citations

Abstract

The United States Department of Energy's (DOE) quarterly price forecasts for energy commodities are examined to determine the incremental information provided at the one-through four-quarter forecast horizons. A direct test for determining information content at alternative forecast horizons, developed by Vuchelen and Gutierrez [Vuchelen, J. and Gutierrez, M.-I. "A Direct Test of the Information Content of the OECD Growth Forecasts." International Journal of Forecasting. 21(2005):103-117.], is used. The results suggest that the DOE's price forecasts for crude oil, gasoline, and diesel fuel do indeed provide incremental information out to three-quarters ahead, while natural gas and electricity forecasts are informative out to the four-quarter horizon. In contrast, the DOE's coal price forecasts at two-, three-, and four-quarters ahead provide no incremental information beyond that provided for the one-quarter horizon. Recommendations of how to use these results for making forecast adjustments is also provided.

Original languageEnglish (US)
Pages (from-to)189-196
Number of pages8
JournalEnergy Economics
Volume31
Issue number2
DOIs
StatePublished - Mar 1 2009

Keywords

  • Department of energy
  • Forecasting
  • Information content
  • Multiple horizons

ASJC Scopus subject areas

  • Economics and Econometrics
  • Energy(all)

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