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Testing the rationality of DOE's energy price forecasts under asymmetric loss preferences
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posted on 2023-06-08, 22:12 authored by E Mamatzakis, A Koutsomanoli-FilippakiThis paper examines the rationality of the price forecasts for energy commodities of the United States Department of Energy's (DOE), departing from the common assumption in the literature that DOE's forecasts are based on a symmetric underlying loss function with respect to positive vs. negative forecast errors. Instead, we opt for the methodology of Elliott et al. (2005) that allows testing the joint hypothesis of an asymmetric loss function and rationality and reveals the underlying preferences of the forecaster. Results indicate the existence of asymmetries in the shape of the loss function for most energy categories with preferences leaning towards optimism. Moreover, we also examine whether there is a structural break in those preferences over the examined period, 1997 – 2012
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Publication status
- Published
File Version
- Published version
Journal
Energy PolicyISSN
0301-4215Publisher
ElsevierExternal DOI
Volume
68Page range
567-575Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2015-08-25First Compliant Deposit (FCD) Date
2015-08-25Usage metrics
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