Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast
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Transcript of Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast
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Take Home II: US Residential Natural Gas Price
Analysis and 2011 ForecastGroup ELars Hult
Eric JohnsonMatthew Koson
Trung LeJoon Hee LeeAygul NagaevaJenny Yaillen
The UNIVERSITY of CALIFORNIA SANTA BARBARA
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Agenda• Significance of Natural Gas in the US• Data Analysis• Forecast
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Schematic Geology of Natural Gas Resources
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Why Natural Gas?
• Currently second largest source of energy in the US – Used in Transportation, Industrial, Residential
& Consumer and Electric Power sectors
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Source: EIA, Energy in Brief
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Why Natural Gas?• Currently second largest source of energy in the US
– Used in Transportation, Industrial, Residential & Consumer and Electric Power sectors
• Low foreign dependence – 87% of gas consumed in US produced domestically
• New abundant source, Shale Gas
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EIA projects 30% domestic gas production growth, 16% consumption growth, leading to declining imports
Source: Richard Newell, EIA, Annual Energy Outlook 2011
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US net imports of natural gas expected to decline substantially over forecast period
Source: EIA, Annual Energy Outlook 2011
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Over the last decade, U.S. shale gas production has increased 14-fold and now comprises about 22 percent of total U.S. production
Source: Richard Newell, EIA, Lippman Consulting
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Four-fold increase in shale gas production offsets declines in other U.S. supply, meeting consumption growth and lowering import needs
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Monthly U.S. Price of Natural Gas Delivered to Residential Consumers(January 1981-February 2011)
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Series: GASSample 1981M01 2011M02Observations 362
Mean 8.438398Median 6.965000Maximum 20.77000Minimum 3.940000Std. Dev. 3.369083Skewness 1.147545Kurtosis 3.546429
Jarque-Bera 83.95419Probability 0.000000
Trace Histogram
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GAS
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Correlogram of GAS
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Differenced Data Series, DGAS
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DGAS
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Series: DGASSample 1981M01 2011M12Observations 361
Mean 0.016814Median 0.040000Maximum 2.580000Minimum -3.200000Std. Dev. 0.696114Skewness -0.726564Kurtosis 6.510438
Jarque-Bera 217.1228Probability 0.000000
HistogramTrace
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Correlogram of DGAS
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Seasonally Differenced Data Series, SDDGAS
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SDDGAS
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Series: SDDGASSample 1981M01 2011M12Observations 349
Mean -0.003639Median 0.000000Maximum 1.740000Minimum -3.080000Std. Dev. 0.504787Skewness -0.635105Kurtosis 9.192337
Jarque-Bera 581.0628Probability 0.000000
Trace Histogram
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Correlogram of SDDGAS
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SDDGAS regressed on C, AR(1), MA(12)
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Actual, Fitted, Residual Plot
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Residual Actual Fitted
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Correlogram of Residuals
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Descriptive Statistics, Residuals
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Series: ResidualsSample 1982M03 2011M02Observations 348
Mean -0.001221Median 0.003814Maximum 1.585270Minimum -1.957752Std. Dev. 0.377039Skewness -0.369274Kurtosis 7.870423
Jarque-Bera 351.8638Probability 0.000000
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Serial Correlation Test
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Correlogram of Squared Residuals
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Garch(1,1) Model
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Actual, Fitted, Residual Plot
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Correlogram of Residuals
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Histogram of Standardized Residuals
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ARCH LM Test
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Forecast of SDDGAS
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Trace and Forecast of SDDGAS
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SDDGAS FORECASTLOWER UPPER
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Trace and Recolored Forecast of GAS
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GAS GASFGAS_LOWER GAS_UPPER
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March 2011 Forecasted Value vs. Actual Value