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: | Franses Philip Hans, Ario Miguel A. |
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.