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Aproximación lineal por tramos a comportamientos no lineales: estimación de señales de nivel y crecimiento

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  • Álvarez, Luis J.
  • Delrieu, Juan C.

Abstract

El objeto de este trabajo es el de llegar a disponer de un indicador firme del nivel y del perfil de crecimiento de una variable económica, cuando ésta pasa un período temporal especffico en el que sufre los efectos de determinados acontecimientos especiales que truncan su tendencia. Lo anterior supone un comportamiento no lineal de naturaleza estocástica difícil de identificar, y para el que la aproximación del análisis de intervención no es buena. La alternativa propuesta es este trabajo es la modelización lineal por tramos. Tal modelización permite diseñar la estimación de la tendencia y el crecimiento subyacente de la variable en el período de cambio sin emplear filtros simétricos, que no son válidos para comportamientos no lineales. Esto se aplica a la serie mensual de importaciones no energéticas de la economía española que publica la Dirección General de Aduanas. Este trabajo acaba estudiando los efectos de tener o no en cuenta la solución que aquí se propone al trimestralizar la Cuenta Nacional de Importaciones con una tendencia del indicador mensual de aduanas.

Suggested Citation

  • Álvarez, Luis J. & Delrieu, Juan C., 1992. "Aproximación lineal por tramos a comportamientos no lineales: estimación de señales de nivel y crecimiento," DES - Documentos de Trabajo. Estadística y Econometría. DS 2940, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:dsrepe:2940
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    References listed on IDEAS

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    1. S. R. Brubacher & G. Tunnicliffe Wilson, 1976. "Interpolating Time Series with Application to the Estimation of Holiday Effects on Electricity Demand," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(2), pages 107-116, June.
    2. Burridge, Peter & Wallis, Kenneth F, 1984. "Unobserved-Components Models for Seasonal Adjustment Filters," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 350-359, October.
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    More about this item

    Keywords

    Tendencia;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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