I don't think it is quite right to see Sim's approach as "fully atheoretical." He has modified it and agrees that structural issues must come in. The question is how. The approach I like is that of Soren Johansen's cointegrated VAR analysis, in which data analysis is informed by theory, but not driven by theory. I don't think we can teach principles students that, but we can teach them about the difficulties that the data present. Dave Colander