Ariño, M.A.

forecast series model log-transformed vector level forecasting error expression y 1 t vector time series var model log-transformed data section log-transformed series time series analysis t 1 k parameter cointegrated result y 2 t table time series autoregressive journal investment 1 y 1 time t var 3 model example paper matrix franses / value quarter xt 1 k franse x 1 t arino log-model 29 periods var models 17 forecasts performance m-dimensional newbold cointegrating relationship granger investment series untransformed data out-of-sample bivariate untransformed out-of-sample forecasts order m time series oxford university press m-dimensional time series x 2 t erasmus university rotterdam di 1 k univariate time series xt +k function c 01 k covariance matrix v percentage error mape fi rst quarter k 2 r var time series vector autoregressive model log-transformed time series log xi t c 0i 1 c 0i 2 rotterdam 1 y 2 univariate c 0 k newbold 1976