Structural econometric modeling and time series analysis (Q1822192)

We discuss the structural econometric modeling and time series analysis (SEMTSA) approach put forward by \textit{A. Zellner} and \textit{F. Palm} [J. Econ. 2, 17-54 (1974; Zbl 0282.90011)] which provides a synthesis of econometric and time series methods in modeling economic time series. The approach aims at giving guidance for checking the data admissibility of the dynamic specification of a model in its various forms, in particular the transfer function form and the finally equation form. We review the SEMTSA approach, discuss recent developments, and briefly compare the SEMTSA with other methodologies for econometric modeling. Finally some remarks are made about problems that remain to be solved.