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

Dwight R. Sanders, Mark Manfredo and Keith Boris

Energy Economics, 2009, vol. 31, issue 2, 189-196

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.

Keywords: Department of energy; Forecasting; Information content; Multiple horizons (search for similar items in EconPapers)
JEL-codes: C53 Q4 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:31:y:2009:i:2:p:189-196

DOI: 10.1016/j.eneco.2008.08.010

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