Well, sort of. You retain your A and B licenses from GT1; thus, you can enter all A/B license races, but you still have to attain the I-C/I-B/I-A/Super licenses.
You have to go to Data Transfer > Convert Data in the Main Menu. You will get 20 yellow-and-green "books" in place of any trophies. So don't try this unless you're in a new game. No money nor cars will transfer, however.