The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend

Stanislav I. Radchenko ()

Econometrics from EconWPA

Abstract: This paper constructs long-term forecasts of energy prices using a reduced form model of shifting trend developed by Pindyck (1999). A Gibbs sampling algorithm is developed to estimate models with a shifting trend line which are used to construct 10-period-ahead and 15-period ahead forecasts. An advantage of forecasts from this model is that they are not very influenced by the presence of large, long-lived increases and decreases in energy prices. The forecasts form shifting trends model are combined with forecasts from the random walk model and the autoregressive model to substantially decrease the mean forecast squared error compared to each individual model.

Keywords: energy forecasting; oil price; coal price; natural gas price; shifting trends model; long term forecasting (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ene and nep-ets
Date: 2005-02-04
Note: Type of Document - pdf; pages: 29
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0502002

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