Structural Econometric Modelling and Time Series Analysis towards an Integrated Approach

In this paper we present the different approaches to modelling dynamic regression and structural equations• First, we give a survey of the traditional econometrie and the time series approaches to specification analysis of dynamic econometrie models. Then, we describe the three testing procedures that are presently available to the econometrician: (1) testing for misspecification or diagnostic checking, (2") specification analysis or interpretive search, and (3) checking the overall consistency of the model. Next, we outline the integrated structural econometrie modelling and time series analysis (SEMTSA) approach to modelling dynamic linear econometrie equations and point out how each of the three testing procedures can be used. We distinguish between an analysis under full information and one under limited information. Through the presentation of econometrie modelling and time series analysis as an integrated approach, we hope to promote its development and application in empirical econometrics. *) Economische Faculteit, Vrije Universiteit, Amsterdam. Some of the work reported in this paper has been done during the Warwick Summer Workshop 1979.