Identification of System Behaviours by Approximation of Time Series Data

Wolfgang Scherrer () and Christiaan Heij

No EI 9710-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: The behavioural framework has several attractions to offer for the identification of multivariable systems. Some of the variables may be left unexplained without the need for a distinction between inputs and outputs; criteria for model quality are independent of the chosen parametrization; and behaviours allow for a global (i.e., non-local) approximation of the system dynamics. This is illustrated with a behavioural least squares method with an application in dynamic factor analysis.

Keywords: behaviour; factor models; least squares; linear system; system identification (search for similar items in EconPapers)
Date: 1997-01-01
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