Forecasting the levels of vector autoregressive log-transformed time series

被引：17

作者：

Ariño, MA

Franses, PH

机构：

[1] Univ Navarra, IESE, Barcelona 08034, Spain

[2] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 2000年 / 16卷 / 01期

关键词：

VAR time series; log-transformation; forecasting;

D O I：

10.1016/S0169-2070(99)00025-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：111 / 116

页数：6