Log versus level in VAR forecasting: 16 Million empirical answers - expect the unexpected
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References listed on IDEAS
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
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American Statistical Association, vol. 20(1), pages 134-144, January.
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- Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
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Cited by:
- repec:rsr:journl:v:65:y:2017:i:4:p:111-127 is not listed on IDEAS
- Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014.
"Pronósticos para una economía menos volátil: el caso colombiano,"
Coyuntura Económica,
Fedesarrollo, December.
- Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: El caso colombiano," BORRADORES DE ECONOMIA 011252, BANCO DE LA REPÚBLICA.
- Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: El caso colombiano," Borradores de Economia 821, Banco de la Republica de Colombia.
- Taylor, Nick, 2017.
"Realised variance forecasting under Box-Cox transformations,"
International Journal of Forecasting,
Elsevier, vol. 33(4), pages 770-785.
- Nick Taylor, 2016. "Realised Variance Forecasting Under Box-Cox Transformations," Bristol Accounting and Finance Discussion Papers 16/4, School of Economics, Finance, and Management, University of Bristol, UK.
- Masayoshi Hayashi, 2013. "On the Decomposition of Regional Stabilization and Redistribution," CIRJE F-Series CIRJE-F-910, CIRJE, Faculty of Economics, University of Tokyo.
- Donal Smith, 2016. "The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach," Discussion Papers 16/07, Department of Economics, University of York.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018.
"Prediction Regions for Interval-valued Time Series,"
Working Papers
201817, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019. "Prediction Regions for Interval-valued Time Series," Working Papers 201921, University of California at Riverside, Department of Economics.
- Serfraz, Ayesha, 2017. "What is the effect of foreign direct investment inflows on economic growth in Pakistan? An empirical analysis in the light of religious sectarianism as catalyst for terrorism," Discussion Papers 59, University of Hamburg, Centre for Economic and Sociological Studies (CESS/ZÖSS).
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Keywords
VAR-forecasting; logarithmic transformation;JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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