The present paper describes modelling of the thermal dynamics of a real wall tested in dynamic outdoor weather conditions, to identify all the parameters needed for its characterisation. Specifically, the U value, absorptance and effective heat capacity are estimated for the wall using grey-box modelling based on statistical methods and known physical dynamic energy balance equations, related to the heat flux density through a simple and homogeneous wall. The experimental test was carried out in a hot-temperature climate for nine months. This study aims at proposing a dynamic method improving the regression averages method for estimation of parameters which describe the thermal behaviour of the wall. Solar irradiance and long-wave radiation balance terms are added in the heat balance equation besides modelling of wind speed effect to achieve a complete description of the relevant phenomena which affect the thermal dynamics of the wall. The method is applied using different frequency data samples looking for the best to study this wall. The U value obtained characterising the wall is consistent with the one given by the regression averages method. (C) 2013 Elsevier B.V. All rights reserved.