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Modelos estructurales en el contexto de las series temporales económicas

  • Gloria Martín Rodríguez

    ()

    (Universidad de La Laguna)

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    Determinar las características más notables asociadas a un conjunto de series temporales es generalmente considerado como un paso crucial en el análisis macroeconómico. Ésta es una de las razones por las que es deseable formular un modelo para una serie temporal. Sin embargo, para que tales modelos sean útiles deben ser consistentes con las propiedades estocásticas de los datos y ofrecer información relevante. En este sentido, los modelos estructurales de series temporales constituyen un enfoque adecuado que, basado explícitamente en las propiedades estocásticas de los datos, permite presentar sus rasgos más sobresalientes. El objetivo de este trabajo es mostrar la racionalidad subyacente en los modelos estructurales de series temporales, exponer las formulaciones univariantes y multivariantes más usuales y señalar en qué medida contrasta con el enfoque ARIMA

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    File URL: http://www.bibliotecas.ulpgc.es/fcee/hemeroteca/documentos%20de%20trabajo/DocumentosDTrabajo/doc13/dt2002-04.pdf
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    Paper provided by Facultad de Ciencias Económicas de la ULPGC in its series Documentos de trabajo conjunto ULL-ULPGC with number 2002-04.

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    Length: 27 pages
    Date of creation: 2002
    Date of revision:
    Handle: RePEc:can:series:2002-04
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