A. Zellner, TIME-SERIES ANALYSIS, FORECASTING AND ECONOMETRIC MODELING - THE STRUCTURAL ECONOMETRIC MODELING, TIME-SERIES ANALYSIS (SEMTSA) APPROACH, Journal of forecasting, 13(2), 1994, pp. 215-233
In this paper an account of our experiences in modelling and forecasti
ng the annual output growth rates of 18 industrialized countries is pr
esented. A structural econometric modelling, time-series analysis (SEM
TSA) approach is described and contrasted with other approaches. Theor
etical and applied results relating to variable and model selection an
d point and turning-point forecasting are discussed. A summary of resu
lts and directions for future research concludes the paper.