[Gretl-users] Re: ARIMA on log transformed data
On Sat, Jan 4, 2025 at 2:55 PM <dbrilakis(a)yahoo.gr> wrote:
Hi, I found that my data become stationary (after differentiate) the log data with best
ARIMA(p,d,q) How do I rebuilt the ARIMA forecast to the origina scale before log?
Tanks in advance
There's a standard means of converting from a forecast or fitted value
of log(y) to that of y itself, if the error term is reckoned to be
normal, plus some variations on the theme. Dave Giles has quite a nice
discussion of the point: see
https://davegiles.blogspot.com/2014/12/s.html
Allin Cottrell