[Gretl-users] Re: ARIMA on log transformed data
Am 05.01.2025 um 23:54 schrieb Δημήτρης Μπριλάκης:
Thanks for the reply. The problem is that I need the funcionality of
forecast menu of the program like UCL, LCL in a "good" plot.
In some packages, like SPSS the re-transformation is given from the
software and is supposed that the log model iw evaluated along with
the non-log models.
Hi Dimitris and other interested,
a little update on this: I've updated my contributed function package
"uniFCextensions" to version 1.2 which now offers the possibility to
produce (three different) consistent forecasts of the levels if the
model was estimated with the log on the LHS.
However, this does not cover ARMA models, only dynamic linear OLS
(including AR terms, obviously). Parameter or model uncertainty are not
taken into account, either. (I mention this because of the previously
cited remark by BÅRDSEN, G. & LÜTKEPOHL, H. (2011) in a slightly
different context that the naive exp-ing of the log forecast might be OK
then.)
Feel free to ask if anything remains unclear.
cheers
sven
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