On univariate time series methods and simultaneous equation econometric models

Abstract

Systematic testing of the implications of the structural assumptions for the properties of the final equations and transfer functions associated with a dynamic econometric model, as proposed by Zellner and Palm (1974–1975), proved to be useful in model building. This paper contains several remarks on the use of univariate time series methods to empirically check out the implications of a linear dynamic simultaneous equation model.