Forecasting the levels of vector autoregressive log-transformed time series

Forecasting the levels of vector autoregressive log-transformed time series

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Article ID: iaor200142
Country: Netherlands
Volume: 16
Issue: 1
Start Page Number: 111
End Page Number: 116
Publication Date: Jan 2000
Journal: International Journal of Forecasting
Authors: ,
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.

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