Especificación dinámica: comparación entre distintas estrategias

Abstract

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.