Structural econometric modeling and time series analysis

DOI10.1016/0096-3003(86)90011-1zbMATH Open0617.62119OpenAlexW2102989328MaRDI QIDQ1822192FDOQ1822192

Authors: Franz C. Palm 

Publication date: 1986

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(86)90011-1

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zbMATH Keywords

forecastingARIMA time-series modelsSEMTSAstructural econometric modeling and time series analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Cites Work

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• The estimation of the order of an ARMA process
• On a measure of lack of fit in time series models
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• Exogeneity
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• Identification of noisy systems
• A new look at the relationship between time-series and structural econometric models
• The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification
• The Econometric Analysis of Economic Time Series
• A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES
• Latent variable models for time series. A frequency domain approach with an application to the permanent income hypothesis
• Time Series versus Structural Models: A Case Study of Canadian Manufacturing Inventory Behavior

Cited In (6)

• Structural econometric modeling and time series analysis
• VAR interpretations of Haavelmo's market model of capital and investment
• Encompassing univariate models in multivariate time series. A case study
• Title not available (Why is that?)
• Title not available (Why is that?)
• The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions

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