Publication: Modelos Univariantes en el análisis económico
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1989
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Instituto de Estudios Fiscales (Madrid)
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Abstract
En este artículo se presentan los modelos univariantes ARIMA con análisis de
intervención (ARIMA- IA) que bajo condiciones bastante generales ofrecen una explicación del comportamiento de la variable correspondiente, que es consistente, aunque ineficiente, con la obtenida a partir de un modelo econométrico estructural global (SEM). Esto permite la utilización de los modelos ARIMA-IA para el análisis económico. Por tal motivo estos modelos tienen un uso universal como instrumentos de predicción, pe ro su utilidad en el análisis económico es mucho más amplia, y en el artículo se destaca la capacidad de estos modelos para describir la naturaleza de largo plazo de las variables económicas y cuantificar, mes a mes, los parámetros que determinan tal evolución de crecimiento equilibrado
This paper presents a reapprisal of the role of univariate time series ARIMA models with intervention analysis (ARIMA- IA) which, under general conditions, offer an explanation of the behavior of the corresponding variable which is consistent, though inefficient, with that obtained from a multivariate structural econometric model (SEM). This aIlows the use of ARIMA- IA modcIs for economic analysis, with their extended role for predictive purpose being weIl known. I t is argued that the role of these models is much wider than the previous one , emphasizing, in particular, their capacity to describe the long-run nature of economic time series and the possibility of estimating, month to month, the parameters which govern their steady-state evolution.
This paper presents a reapprisal of the role of univariate time series ARIMA models with intervention analysis (ARIMA- IA) which, under general conditions, offer an explanation of the behavior of the corresponding variable which is consistent, though inefficient, with that obtained from a multivariate structural econometric model (SEM). This aIlows the use of ARIMA- IA modcIs for economic analysis, with their extended role for predictive purpose being weIl known. I t is argued that the role of these models is much wider than the previous one , emphasizing, in particular, their capacity to describe the long-run nature of economic time series and the possibility of estimating, month to month, the parameters which govern their steady-state evolution.
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Modelos univariantes, Modelo econométrico, Previsión
Bibliographic citation
Revista Española de Economía. 1989, vol. 6, nº 1-2, p. 85-108