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Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts
Energy Economics ( IF 13.6 ) Pub Date : 2023-03-23 , DOI: 10.1016/j.eneco.2023.106620
Anthony Garratt , Ivan Petrella , Yunyi Zhang

We evaluate US Energy Information Administration (EIA) forecasts of the world petroleum market, emphasising the importance of taking a multivariate perspective, considering asymmetric loss and allowing for time-variation. Forecasts for total demand, total supply, total stock withdrawals and the oil prices are biased, with biases that change over time and differ across variables. A loss function that takes into account asymmetry and interdependence can rationalise these biases. The implied asymmetric loss gives less weight to under-prediction of both demand and supply, while for oil prices, we document significant regime changes in the implied loss due to asymmetry. The EIA forecasts dominate a simple random walk benchmark when evaluated using symmetric and independent loss in the form of MSE statistical criteria. Yet, when allowing for asymmetry and interdependence that rationalise the EIA forecasts, the performance of the EIA forecasts worsens and is comparable to the random walk benchmark.



中文翻译:

评估美国能源信息署预测时的不对称性和相互依赖性

我们评估了美国能源信息署 (EIA) 对世界石油​​市场的预测,强调了采用多变量视角、考虑不对称损失并允许时变的重要性。对总需求、总供应、总库存提取和油价的预测是有偏差的,偏差会随着时间的推移而变化,并且因变量而异。考虑到不对称性和相互依赖性的损失函数可以使这些偏差合理化。隐含的不对称损失对需求和供应的预测不足给予了较小的重视,而对于油价,我们记录了由于不对称导致的隐含损失的重大制度变化。当使用 MSE 统计标准形式的对称和独立损失进行评估时,EIA 预测主导了一个简单的随机游走基准。然而,

更新日期:2023-03-23
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