Dynamic analysis is very useful to obtain thermal properties of building components. However different methodologies can be applied, and several software tools based on these methodologies are available which application requires certain degree of experience. The main differences between methodologies are the numerical procedure and the model assumed to estimate the required parameters. Different approaches can lead to different and even wrong estimations of the parameters. In this paper different tools and models are considered to obtain the U values of a building component tested at component level. The analysed component is quite representative regarding analysis and consists in a simple homogeneous and opaque wall. The applied analysis approaches are first assuming deterministic and lumped RC model analysed using LORD, afterwards considering models in the transfer function form analysed using the System Identification Toolbox of MATLAB, and finally using continuous time state space models based in stochastic differential equations analysed using CTSM. Results have been validated first comparing the estimated parameters with bibliographic reference values and afterwards comparing results obtained using different data sets. The differences between results from the different considered approaches are discussed. Conclusions regarding the most critical steps and assumptions of the analysis process have been extracted.