Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/73744 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
ifo Working Paper No. 42
Verlag: 
ifo Institute - Leibniz Institute for Economic Research at the University of Munich, Munich
Zusammenfassung: 
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.
Schlagwörter: 
VAR-forecasting
logarithmic transformation
JEL: 
C52
C53
Dokumentart: 
Working Paper

Datei(en):
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