First, the goals and process of model building, including models for learning from data, explaining the past, predicting as yet unobserved data and making policy decisions are discussed. Then attention is given to the important role of nonlinear, dynamic relations in three of my past and one of...

We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing,...