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Identification of System Behaviours by Approximation of Time Series Data

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  • Scherrer, W.
  • Heij, C.

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.

Suggested Citation

  • Scherrer, W. & Heij, C., 1997. "Identification of System Behaviours by Approximation of Time Series Data," Econometric Institute Research Papers EI 9710-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:1416
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    References listed on IDEAS

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    1. Heij, C. & Scherrer, W., 1996. "Consistency of System Identification by Global Total Least Squares," Econometric Institute Research Papers EI 9635-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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