Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73744
Authors: 
Mayr, Johannes
Ulbricht, Dirk
Year of Publication: 
2007
Series/Report no.: 
Ifo Working Paper 42
Abstract: 
The use of log-transformed data has become standard in macroeconomic forecasting with VAR models. However, its appropriateness in the context of out-of-sample forecasts has not yet been exposed to a thorough empirical investigation. With the aim of filling this void, a broad sample of VAR models is employed in a multi-country setup and approximately 16 Mio. pseudo-out-of-sample forecasts are evaluated. The results show that, on average, the knee-jerk transformation of the data is at best harmless.
Subjects: 
VAR-forecasting
logarithmic transformation
JEL: 
C52
C53
Document Type: 
Working Paper

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