Can U.S. EIA Retail Gasoline Price Forecasts Be Improved Upon?

Panit Arunanondchai, Mark C. Senia and Oral Capps

No 252717, 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama from Southern Agricultural Economics Association

Abstract: Perhaps the most widely followed price in the market is the price of crude oil. The volatility of this commodity is evident to consumers through the gasoline prices that consumers see on the retail side. The U.S. Energy Information Agency provides widely followed forecasts for the retail gasoline price (along with other energy products) produced with their short-term energy outlook (STEO) model. The purpose of this research is to compare a number of forecasts using different techniques to the STEO model. This is accomplished through the use of Holt Winters, structural, ARIMA, and vector error-correction models. We also construct a composite forecast by averaging the respective forecasts from the four models. From the empirical analysis, we find evidence from the structural model and the vector error-correction model that the movement in the gasoline prices can be explained by the West Texas Intermediate (WTI) benchmark and the spread between BRENT and WTI benchmarks. In terms of forecasting performance, the additive Holt Winters model outperforms the other models within sample. Out sample, the composite forecast is the best performing model. The composite forecast has a MAPE of 6.3% versus a MAPE of 8.1% from the STEO model.

Keywords: Resource/Energy; Economics; and; Policy (search for similar items in EconPapers)
Pages: 26
Date: 2017
New Economics Papers: this item is included in nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/252717/files/C ... 0Improved%20Upon.pdf (application/pdf)

Related works:
Working Paper: Can U.S. EIA Retail Gasoline Price Forecasts Be Improved Upon? (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:saea17:252717

DOI: 10.22004/ag.econ.252717

Access Statistics for this paper

More papers in 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama from Southern Agricultural Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().