[Gretl-users] Re: using levels and log transformed data in forecasting

On Wed, 17 Jul 2019, Yusuf Abduwahab Hassan wrote: Assuming that - you want to forecast vie conditional expectation (ie with quadratic loss) - your data are at least approximately normal you can compute the expectation of the exponential as E(exp(x)) = exp(E(x) + 0.5*v(x)) An example script with out-of-sample forecast on the famous Box-Jenkins "airline" dataset follows <hansl> open bjg.gdt --quiet series insample = t < "1960:3" series f = NA smpl insample == 1 --restrict arima 0 1 1 ; 0 1 1 ; lg fcast --out-of-sample matrix F = $fcast + 0.5 * $fcse.^2 smpl insample == 0 --restrict --replace f = exp(F) setinfo f --graph-name="forecast" smpl full gnuplot g f --time-series --with-lines --output=display </hansl> Hope this helps. ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------