Publication: El comportamiento de series económicas: movimiento atípicos y relaciones a corto y largo plazo
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1985
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Instituto de Desarrollo Económico (Madrid)
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En la primera parte se presenta el análisis de intervención en series temporales.
La especificación del mismo se centra en el examen de si la intervención sufrida
por la serie tiene efectos permanentes (largo plazo) en el nivel de la misma.
En la segunda parte se aplica la idea de efectos a largo y corto plazo sobre el
nivel de una serie a la formulación de modelos econométricos. Se expone que la
descomposición de las variables explicativas en dos componentes, uno con efectos
a largo plazo y otro con sólo efectos transitorios, es, con frecuencia, útil para
especificar modelos econométricos y se dan pautas para realizar una especificación
inicial en tales casos.
The first part of the paper deals with intervention analysis in time series. The specification of the structure for a intervention is based on examining if the series has or has not suffered permanent long term effects on its level. In the second part the idea of long and short term effects on the level of a time series is applied to the formulation of econometric models. The paper points out that the decomposition of the explanatory variables in two components, one with long term effects an another with only transitory effects, is, very often, useful for the especification of econometric models. The paper proposes a method to derive an initial specification in these cases.
The first part of the paper deals with intervention analysis in time series. The specification of the structure for a intervention is based on examining if the series has or has not suffered permanent long term effects on its level. In the second part the idea of long and short term effects on the level of a time series is applied to the formulation of econometric models. The paper points out that the decomposition of the explanatory variables in two components, one with long term effects an another with only transitory effects, is, very often, useful for the especification of econometric models. The paper proposes a method to derive an initial specification in these cases.
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Revista Española de Economía. 1985, vol.2, nº 2, p. 365-388