Forecasting the levels of vector autoregressive log-transformed time series

International Journal of Forecasting

Volumn 16, Issue 1, 2000, Pages 111-116

  Ariño, Miguel A ^a   Franses, Philip Hans ^b  

^a UNIVERSITY OF NAVARRA   (Spain)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Forecasting; Log transformation; VAR time series

Indexed keywords

EID: 0041639300     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(99)00025-4     Document Type: Article

References (5)

1. Dufour J.-M. Unbiasedness of predictions from estimated vector autoregressions. Econometric Theory. 1:1985;387-402.
2. Granger C.W.J., Newbold P. Forecasting transformed series. Journal of The Royal Statistical Society B. 38:1976;189-203.
3. Johansen S. Likelihood-based Inference in Cointegrated Vector Autoregressive Models. 1995;Oxford University Press, Oxford.
4. Lutkepohl H. Introduction To Multiple Time Series Analysis. 1991;Springer Verlag, Berlin.
5. Pindyck R.S., Rubinfeld D.L. Econometric models and economic forecasts=. McGraw-Hill International Editions, Economic Series. 1991;McGraw-Hill.