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.
|Keywords||VAR time series, forecasting, log-transformation|
|Persistent URL||dx.doi.org/10.1016/S0169-2070(99)00025-4, hdl.handle.net/1765/13511|
|Journal||International Journal of Forecasting|
Ariño, M.A, & Franses, Ph.H.B.F. (2000). Forecasting the levels of vector autoregressive log-transformed time series. International Journal of Forecasting, 111–116. doi:10.1016/S0169-2070(99)00025-4