The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend
AbstractThis 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.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0502002.
Length: 29 pages
Date of creation: 04 Feb 2005
Date of revision:
Note: Type of Document - pdf; pages: 29
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energy forecasting; oil price; coal price; natural gas price; shifting trends model; long term forecasting;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-ECM-2005-04-16 (Econometrics)
- NEP-ENE-2005-04-16 (Energy Economics)
- NEP-ETS-2005-04-16 (Econometric Time Series)
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