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

Dwight R. Sanders, Mark Manfredo, Keith Boris

Research output: Contribution to journalArticlepeer-review

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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