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 Bardsen & Helmut Luetkepohl, 2009. "Forecasting Levels of log Variables in Vector Autoregressions," Economics Working Papers ECO2009/24, European University Institute.
References listed on IDEAS
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- Proietti, Tommaso & Lütkepohl, Helmut, 2013.
"Does the Box–Cox transformation help in forecasting macroeconomic time series?,"
International Journal of Forecasting,
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- 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.
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- Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
- Lo, Danny K. & Hall, Anthony D., 2015. "Resiliency of the limit order book," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 222-244.
- Luetkepohl Helmut & Xu Fang, 2011. "Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-23, February.
More about this item
- 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-2009-07-03 (All new papers)
- NEP-ECM-2009-07-03 (Econometrics)
- NEP-ETS-2009-07-03 (Econometric Time Series)
- NEP-FOR-2009-07-03 (Forecasting)
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