Forecasting the Levels of Vector Autoregressive Log-Transformed Time Series

In this paper we give explicit expressions for the forecasts of levels of a vector time series when such forecasts are generated from (possibly cointegrated) vector autoregressions for the corresponding log-transformed time series. We also show that simply taking exponentials of forecasts for logged data leads to substantially biased forecasts. We illustrate this using a bivariate cointegrated vector series containing US GNP and investments.

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Year of publication:	1996-01-01
Authors:	Franses, Philip Hans ; Ariño, M.A.
Institutions:	Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Subject:	VAR time series \| forecasting \| log-transformation

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Extent:	application/pdf
Series:	Econometric Institute Research Papers. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureir Number EI 9669-/A
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011067487