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Abstract

In this sequel to the author’s earlier paper of 1974 [1], the progress in the field of system identification since 1974 is reviewed from the standpoint of its applicability to Econometrics. A specific method for identifying a linear state vector model from multiple time series data is discussed. The method known as State Space Modeling and Forecasting is illustrated on typical econometric time series. The advantages of the method over the Least Squares Econometric modeling approach and the Box-Jenkins [2] approach are discussed.

Keywords

State Vector Canonical Correlation State Space Modeling ARMA Model State Space Approach 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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    Mehra, R.K. (1974), “Identification and Control and Econometric Systems, Similarities and Differences”, Second Workshop on Economic and Control Systems, Chicago, June 1973 (also Annals of Economic and Social Measurements).Google Scholar
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Copyright information

© D. Reidel Publishing Company 1982

Authors and Affiliations

  • R. K. Mehra
    • 1
  1. 1.Scientific Systems Inc.CambridgeUSA

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