ADDIS ABABA, Oct 9 (Reuters) - U.S. envoy Anthony Lake left the Horn of Africa for Washington on Friday after two days of shuttle diplomacy aimed at ending a border dispute between Ethiopia and Eritrea, government officials said.

Lake -- a former U.S. national security adviser -- held talks on Thursday in Addis Ababa with Ethiopian Prime Minister Meles Zenawi after consultations with Eritrean President Isayas Afewerki in Asmara the previous day.

His departure for the United States appeared to signal that the mediation had failed, as Lake was initially scheduled to return to the Eritrean capital on Friday.

Neither side has commented on the outcome of the talks.

A statement from the U.S. embassy in Addis Ababa released on Thursday said Lake had brought ``some new ideas for helping the two parties resolve their problems,'' but did not give details of any new proposals.

``The United States has important national interests in the Horn of Africa which will be seriously affected by a war between Ethiopia and Eritrea,'' the statement added.

A long-running border disagreement between Ethiopia and Eritrea spilled over into violence on May 6, and hundreds were killed in the six weeks of fighting that followed.

Although there have been no significant engagements since mid-June, both sides have used the lull to mass heavy reinforcements of troops and artillery along the border.

Diplomats and political analysts have expressed doubts that Lake's mediation could achieve any real breakthrough after Ethiopia said earlier this week that it considered a peace initiative by the Organisation of African Unity (OAU) the only plan that could guarantee a negotiated solution to the dispute.

The OAU mediation effort is based on an initiative put forward by the United States and Rwanda in early June which calls for the withdrawal of Eritrean forces to positions held before May 6.

But Eritrea rejects this key element of the plan and has called for an international monitoring force to be deployed in disputed areas before any withdrawal takes place.

Lake's visit comes a week before the next OAU mediation scheduled for October 15 in the Burkina Faso capital Ouagadougou.

The meeting will be attended by the leaders of the three African countries involved in the peace initiative -- Zimbabwe, Djibouti and Burkina Faso -- as well as OAU Secretary General Salim Ahmed Salim, OAU sources said.