Structural econometric modeling and time series analysis

DOI10.1016/0096-3003(86)90011-1MaRDI QIDQ1822192zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ARIMA time-series modelsforecastingSEMTSAstructural econometric modeling and time series analysis

Mathematics Subject Classification ID

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

Review text

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.

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Cited in

(6)

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• Structural econometric modeling and time series analysis
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