English, Article, Journal or magazine article edition: Forecasting Levels of log Variables in Vector Autoregressions Gunnar Bårdsen and Helmut Lütkepohl

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Bookmark: http://trove.nla.gov.au/version/121782
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Forecasting Levels of log Variables in Vector Autoregressions
Author
  • Gunnar Bårdsen and Helmut Lütkepohl
Physical Description
  • preprint
Notes
  • Sometimes forecasts of the original variable are of interest al- though a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast of the original variable by simply applying the exponential transformation is not optimal theoretically. A simple expression for the optimal forecast un- der normality assumptions is derived. Despite its theoretical advantages the optimal forecast is shown to be inferior to the naive forecast if speci¯cation and estimation uncertainty are taken into account. Hence, in practice using the exponential of the log forecast is preferable to using the optimal forecast.
  • RePEc:nst:samfok:10409
Language
  • English
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