Template-Type: ReDIF-Paper 1.0
Author-Name: Ariño, M.A.
Author-Name-Last: Ariño
Author-Name-First: Miguel
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: Forecasting the Levels of Vector Autoregressive Log-Transformed Time Series
Abstract: 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.
Creation-Date: 1996-01-01
File-URL: https://repub.eur.nl/pub/1399/eeb19960111120043.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9669-/A
Keywords: VAR time series, forecasting, log-transformation
Handle: RePEc:ems:eureir:1399