Comments on time-series analysis, forecasting and econometric modelling: The structural econometric modelling, time-series analysis (SEMTSA) approach, by A. Zellner

摘要

Professor Zellner has greatly contributed to econometrics in many aspects. This paper compiles a line of research developed by him and associates tha t goes back to the early 1970s, in which time-series techniques and Bayesian analysis are used in the construction of econometric models.