TY - JOUR
T1 - Evaluating information in multiple horizon forecasts
T2 - The DOE's energy price forecasts
AU - Sanders, Dwight R.
AU - Manfredo, Mark
AU - Boris, Keith
PY - 2009/3
Y1 - 2009/3
N2 - 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.
AB - 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.
KW - Department of energy
KW - Forecasting
KW - Information content
KW - Multiple horizons
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U2 - 10.1016/j.eneco.2008.08.010
DO - 10.1016/j.eneco.2008.08.010
M3 - Article
AN - SCOPUS:58549120744
SN - 0140-9883
VL - 31
SP - 189
EP - 196
JO - Energy Economics
JF - Energy Economics
IS - 2
ER -