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autoregressive moving average process, forecast mean squared error, instantaneous transformation, integrated process, heteroskedasticity

Autoregressive moving average process, forecast mean squared error, log transformation, seasonally integrated process, seasonal dummy variables

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the original

Saving–investment relation, Feldstein–Horioka puzzle, Functional coefficient models