Forecasting the levels of vector autoregressive log-transformed time series

In this paper we give explicit expressions for the forecasts of levels of a vector time series when such forecasts are generated from (possibly cointe grated) vector autoregressions for the corresponding log-transformed time s eries. We also show that simply taking exponentials of forecasts for logged data leads to substantially biased forecasts. We illustrate this using a b ivariate cointegrated vector series containing US GNP and investments. (C) 2000 Elsevier Science B.V. All rights reserved.