Dynamic specification: comparison of different strategies.

J. Arcarons Bullit; Carles Murillo Fort

Qüestiió (1987)

  • Volume: 11, Issue: 1, page 49-59
  • ISSN: 0210-8054

Abstract

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In the present article we realize a comparative study between two alternative methods aimed to the specification of dynamic relationships between economic variables. On one hand, we will make use of the corner method as a procedure to identify the lag structures and to estimate the parameters involved in a transfer function model. On the other hand, we will resort to common factor analysis (COMFAC) as a procedure to develop the specification strategy in the dynamic models case. In this case we take as starting point a general model -overparametrized- and, by means of a sequence of tests about the relations between parameters, we proceed to simplificate common terms.Both methods advantages and shortcomings are illustrated by means of a simulation exercise that, on one hand, allows us to expose the operative problems associated to each case and, on the other hand, brings us to recommend as a method to specificate dynamic relations a twofold approach that consists in taking advantage of the results obtained from the approach suited to the transfer function models, together with the information provided a priori by the Economic Theory.

How to cite

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Arcarons Bullit, J., and Murillo Fort, Carles. "Especificación dinámica: comparación entre distintas estrategias.." Qüestiió 11.1 (1987): 49-59. <http://eudml.org/doc/40086>.

@article{ArcaronsBullit1987,
author = {Arcarons Bullit, J., Murillo Fort, Carles},
journal = {Qüestiió},
keywords = {Econometría; Modelo dinámico; dynamic relationships; transfer function model; COMFAC analysis},
language = {spa},
number = {1},
pages = {49-59},
title = {Especificación dinámica: comparación entre distintas estrategias.},
url = {http://eudml.org/doc/40086},
volume = {11},
year = {1987},
}

TY - JOUR
AU - Arcarons Bullit, J.
AU - Murillo Fort, Carles
TI - Especificación dinámica: comparación entre distintas estrategias.
JO - Qüestiió
PY - 1987
VL - 11
IS - 1
SP - 49
EP - 59
LA - spa
KW - Econometría; Modelo dinámico; dynamic relationships; transfer function model; COMFAC analysis
UR - http://eudml.org/doc/40086
ER -

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