This paper presents the application of multi-output ARX (Auto-Regression with eXtra inputs) models to estimation of the U values of building components tested outdoors. Multi-output models make it possible to take interaction of the physical quantities involved in the process analysed into account. This approach has been used to analyse two quite different building components. The tests were carried out in one of the PASSYS test cells at the CIEMAT's "Plataforma Solar de Almeria (PSA)" in Tabernas (Almeria, Spain). Several data sets were studied for each of these components using multi-output and single-output models, as well as theoretical values, and the results were compared. Very good performance of the multi-output models was observed for the samples analysed. (c) 2004 Elsevier Ltd. All rights reserved.