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.


State Vector Canonical Correlation State Space Modeling ARMA Model State Space Approach 
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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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