Log versus level in VAR forecasting: 42 million empirical answers—Expect the unexpected

Johannes Mayr and Dirk Ulbricht

Economics Letters, 2015, vol. 126, issue C, 40-42

Abstract: The use of log-transformed data has become standard in macroeconomic forecasting with VAR models. However, its appropriateness in the context of out-of-sample forecasts has not yet been exposed to a thorough empirical investigation. With the aim of filling this void, a broad sample of VAR models is employed in a multi-country set up and approximately 42 million pseudo-out-of-sample forecasts of GDP are evaluated. The results show that, on average, the knee-jerk transformation of the data is at best harmless.

Keywords: VAR-forecasting; Logarithmic transformation; Out-of-sample experiment (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176514004273
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Log versus Level in VAR Forecasting: 42 Million Empirical Answers - Expect the Unexpected (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:126:y:2015:i:c:p:40-42

DOI: 10.1016/j.econlet.2014.11.008

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().