Forecasting the Levels of Vector Autoregressive Log-Transformed Time Series

Miguel Ariño and Philip Hans Franses

No EI 9669-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

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.

Keywords: VAR time series; forecasting; log-transformation (search for similar items in EconPapers)
Date: 1996-01-01
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Related works:
Journal Article: Forecasting the levels of vector autoregressive log-transformed time series (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1399

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