Skip to content
Register Sign in Wishlist

The Structural Econometric Time Series Analysis Approach


A. Zellner, F. C. Palm, P. K. Trivedi, P. Evans, C. I. Plosser, R. I. Webb, F. W. Ahking, S. M. Miller, A. Maravall, A. Mathis, A. Garcia-Ferrer, R. A. Highfield, C. Hong, G. M. Gulati, C. Min, A. J. Hoogstrate, G. A. Pfann, J. P. LeSage, M. Magura, J. Tobias, B. Chen
View all contributors
  • Date Published: February 2011
  • availability: Available
  • format: Paperback
  • isbn: 9780521187435

£ 35.99

Add to cart Add to wishlist

Other available formats:
Hardback, eBook

Looking for an inspection copy?

This title is not currently available on inspection

Product filter button
About the Authors
  • Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.

    • Includes basic material on how to construct econometric models, with applied examples, including the Marshallian Macroeconomic Model
    • Provides an overview of model checking and construction
    • Brings together key texts in one volume
    Read more

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity


    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?


    Product details

    • Date Published: February 2011
    • format: Paperback
    • isbn: 9780521187435
    • length: 736 pages
    • dimensions: 229 x 152 x 37 mm
    • weight: 0.97kg
    • availability: Available
  • Table of Contents

    Part I. The SEMTSA Approach:
    1. Time series analysis and simultaneous equation econometric models A. Zellner and F. C. Palm
    2. Statistical analysis of econometric models A. Zellner
    3. Structural econometric modeling and time series analysis: an integrated approach F. C. Palm
    4. Time series analysis, forecasting and econometric modeling: the structural econometric modeling, times series analysis (SEMTSA) approach A. Zellner
    5. Large sample estimation and testing procedures for dynamic equation systems F. Palm and A. Zellner
    Part II. Selected Applications:
    6. Time series and structural analysis of monetary models of the US economy A. Zellner and F. Palm
    7. Time series versus structural models: a case study of Canadian manufacturing inventory behavior P. K. Trivedi
    8. Time series analysis of the German hyperinflation P. Evans
    9. A time series analysis of seasonality in econometric models C. I. Plosser
    10. The behavior of speculative prices and the consistency of economic models R. I. Webb
    11. A comparison of the stochastic processes of structural and time series exchange rate models F. W. Ahking and S. M. Miller
    12. Encompassing univariate models in multivariate times series: a case study A. Maravall and A. Mathis
    Part III. Macroeconomic Forecasting and Modeling:
    13. Macroeconomic forecasting using pooled international data A. Garcia-Ferrer, R. A. Highfield, F. Palm and A. Zellner
    14. Forecasting international growth rates using Bayesian shrinkage and other procedures A. Zellner and C. Hong
    15. Turning points in economic time series, loss structures and Bayesian forecasting A. Zellner, C. Hong and G. M. Gulati
    16. Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter and pooling techniques A. Zellner, C. Hong and C. Min
    17. Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates C. Min and A. Zellner
    18. Pooling in dynamic panel data models: an application to forecasting GDP growth rates A. J. Hoogstrate, F. C. Palm and G. A. Pfann
    19. Forecasting turning points in countries' output growth rates: a response to Milton Friedman A. Zellner and C. Min
    20. Using Bayesian techniques for data pooling in regional payroll forecasting J. P. LeSage and M. Magura
    21. Forecasting turning points in metropolitan employment growth rates using Bayesian techniques J. P. LeSage
    22. A note on aggregation, disaggregation and forecasting performance A. Zellner and J. Tobias
    23. The Marshallian macroeconomic model A. Zellner
    24. Bayesian modeling of economies and data requirements A. Zellner and B. Chen.

  • Editors

    Arnold Zellner, University of Chicago

    Franz C. Palm, Universiteit Maastricht, Netherlands


    A. Zellner, F. C. Palm, P. K. Trivedi, P. Evans, C. I. Plosser, R. I. Webb, F. W. Ahking, S. M. Miller, A. Maravall, A. Mathis, A. Garcia-Ferrer, R. A. Highfield, C. Hong, G. M. Gulati, C. Min, A. J. Hoogstrate, G. A. Pfann, J. P. LeSage, M. Magura, J. Tobias, B. Chen

Sign In

Please sign in to access your account


Not already registered? Create an account now. ×

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner Please see the permission section of the catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.


Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

Please fill in the required fields in your feedback submission.