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.

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Econometric Institute Research Papers
Erasmus School of Economics