Mayr, Johannes; Ulbricht, Dirk - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
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...