Forecasting Levels of log Variables in Vector Autoregressions
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- Bårdsen, Gunnar & Lütkepohl, Helmut, 2011. "Forecasting levels of log variables in vector autoregressions," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1108-1115, October.
- Gunnar Bårdsen & Helmut Lütkepohl, 2009. "Forecasting Levels of log Variables in Vector Autoregressions," Working Paper Series 10409, Department of Economics, Norwegian University of Science and Technology.
References listed on IDEAS
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More about this item
KeywordsVector autoregressive model; cointegration; forecast root mean square error;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-11 (All new papers)
- NEP-CBA-2009-07-11 (Central Banking)
- NEP-ECM-2009-07-11 (Econometrics)
- NEP-FOR-2009-07-11 (Forecasting)
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