# Presentation: 921595

## Weekly Modeling of Stocks of Other Oils from Monthly Data

**Ruey-Pyng Lu**
**Statistics and Methods Group**
**October 6, 2006**
**ASA Committee on Energy Statistics**
**2006 Fall Meeting**

## Disclaimer

- 	This is a working document prepared by the Energy Information Administration (EIA) in order to solicit advice and comment on statistical matters from the American Statistical Association Committee on Energy Statistics.  This topic will be discussed at EIA's fall 2006, meeting with the Committee to be held October 5 and 6, 2006.

## Stocks of Crude Oil and Petroleum Products 

- Total = Crude
- 	 + Total Motor Gasoline
- 	 + Distillate Fuel Oil
- 	 + Residual Fuel Oil +  Jet Fuel
- 	 + Unfinished Oils + Propane/Propylene
- 	 + Other Oils

**Notes:**
Have 2 survey systems; weekly cutoff and monthly census.  We have weekly data everything in black Blue only collected monthly.

## Problem 

- The goal is to estimate OTHER OILS,  the “Weekly
- Other Oils stocks” for weekly publication – Weekly
- Petroleum Status Report (WPSR)
- We want to determine the best way to estimate weekly stocks of Other Oils (based on weekly data for major petroleum products, plus monthly data for all products)
- Evaluate alternative methods by comparing the estimates to monthly data (PSM).

**Notes:**
Look for the combo that does the best job

## Project Data 

- The **monthly** stocks of all components of petroleum products reported from 1993 to 2005
- The **weekly** stocks of 6 categories
-    (Total Motor Gasoline, Total Distillate Fuel Oil, Residual Fuel Oil, Total Jet Fuel, Unfinished Oils, Propane/Propylene) of petroleum products reported from 1993 to 2005
- Monthly data has two month lag
- 	e.g. In October 2006 only July 2006 monthly data is available

**Notes:**
How did they do the estimates before Fall of 2003? Monthly census

## Components of Other Oils stocks

- Aviation gasoline
- Kerosene
- Natural gas liquids
- Liquefied Refinery Gases (except propane/propylene)
- Other hydrocarbons and oxygenates
- Aviation gasoline blending components
- Naphtha and other oils for petrochemical feedstock use
- Special naphthas
- Lube oils
- Waxes
- Coke
- Asphalt
- Naphtha-type jet fuel
- Road oil and miscellaneous oils

## Comparison of weekly estimates for “Other Oils” stocks and monthly data for “Other Oils” stocks

**Notes:**
Tell how the red line was calculated.  The gap in Feb and March triggered this project and stimulated the project to collect propane

## New Weekly System 

- Because of the problem in 2003
- In the first week of April 2004, EIA started collecting weekly propane data in the new weekly system

## Outline of work

- Employ a new methodology to estimate weekly stocks of Other Oils.
- Completed work
- Multiple regression modeling
- Unobserved Components Models (***Structural Models***)
- Compare forecasts/estimates to Petroleum Supply Monthly (PSM) data

## Multiple Regression Modeling

- Fit the data reported from 1993 to 2001
- Dependent variable: Other Oils Stocks excluding Propane/Propylene
- Regressors: MOGAS, JET, DIST, RESID, UNFIN, CRUDE, and PROPANE and dummy month variables; a one month difference, 12 month difference and 13 month difference  of major Petroleum Products (16 models evaluated)
- Out of sample predictions: Jan. 2002 to Dec. 2005

**Notes:**
I have tried 16 Multiple Regression Models.

## Unobserved Components Models

## Unobserved Components Models

- The model for UCM is:
**Y****t****  =     μ****t****    ****	**** +    ********t****     ****	****	****+     ψ****t**
- Yt   =   trend   	 +   Season  	+  Cycle
- +           **r****t****	****	****	**+           **Σ** **φ****i** Y**t-1**
- + Autoregressive term    	+  A regressive terms 					    involving lagged
- 						    dep. Variables
- +    **Σ β****j**** X****jt****                   ****	****	****	****+     ε****t**
- +  A regressive term on indep. vars.     + error 							    term

## Summary of Monthly Models

| Model | Variables | Mean Absolute Percent Error
1/2002 to 12/2005 |
| --- | --- | --- |
| Multiple Regression  1 (Fitted data from January 1993 to December 2001) | Major Petroleum Products and  PROPANE and 11 dummy month variables (JAN-NOV) are regressors | 4.38% with range 
[-11.4%, 9.41%] |
| Multiple Regression 2 (Fitted data from January 1993 to December 2001) | Major Petroleum Products and PROPANE, and 1st difference, 12th difference, 1st & 12th difference of (major petroleum products and PROPANE), and 3 Quarter dummy variables (Q1, Q2, Q3) are regressors | 4.05% with range 
[-8.02%, 12.93%] |
| Unobserved components model (UCM) ( Fitted data from January 1993 to December 2001) | Trend, Season, Cycle, Autoregressive term, A regressive terms involving lagged dependent variables, and a regressive term on independent variables.  | 4.35% with range 
[-10.3%, 11.5%] |
| Multiple Regression (STEO) | Pentanes Plus;  Propane; LPGs excluding Propane; Other Hydrocarbons and Oxygenates; and Other Petroleum Products | 5.89% with range
[-11.9%, 17.8%] |
| Weekly Petroleum Supply  Report System (WPSRS) | 19 sets of parameters to choose in a model | 5.92% with range
 [-24.16%, 14.72%] |

## Table 2

| Errors | Multiple Regression Model 1 | Unobserved Components Model | WPSR |
| --- | --- | --- | --- |
| Mean Absolute Percent Error
1/2002 to 12/2002 | 4.96% with range 
[-3.32%, 8.94%] | 2.88% with range 
[-4.19%, 4.41%] | 4.72% with range 
[-5.57%, 9.20%] |
| Mean Absolute Percent Error
1/2003 to 12/2003 | 3.81% with range 
[-8.00%, 8.68%] | 4.56% with range 
[-10.20%, 0.21%] | 9.67% with range 
[-24.16%, 14.21%] |
| Mean Absolute Percent Error
1/2004 to 12/2004 | 4.99% with range 
[-11.4%, 0.45%] | 3.02% with range 
[-5.10%, 5.17%] | 2.49% with range 
[-6.16%, 1.56%] |
| Mean Absolute Percent Error
1/2005 to 12/2005 | 3.78% with range 
[-6.90%, 9.41%] | 6.95% with range 
[-10.33%, 11.52%] | 6.80% with range 
[-5.07%, 14.72%] |

## Slide 15

## The Questions to ASA Energy Committee

- Are we ready to use the Unobserved Components Models to estimate weekly “Other Oils stocks”?