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|
|Series||Econometric Institute Research Papers|
Ariño, M.A, & Franses, Ph.H.B.F. (1996). Forecasting the Levels of Vector Autoregressive Log-Transformed Time Series (No. EI 9669-/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1399