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During this week lecture my professor said that the semimartingale( brownian motion contamined by noise) is a model in reduced form because we do not specify the dynamic which leads to price formation, we model the time series thanks to a generic stochastic process: the semi-martingale series. this reduced form model lacks of "structure" because it does not give information on the dynamic of price formation

what does it means exactly lack of structure? how should we modify our stochastic process to account for a structural approach?

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    $\begingroup$ I wouldn't do it justice by trying to explain but "Structural Macro-econometrics" by De-Jong and Dave is the long answer. Here's a shorter but nice answer with lots of links. economics.stackexchange.com/questions/180/… $\endgroup$
    – mark leeds
    Commented Nov 23, 2023 at 18:34

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