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Education

Ph.D., Business Administration and Quantitative Methods, March 2010 (Expected) Universidad Carlos III de Madrid, Getafe, Madrid Dissertation: Topics in Models with Unobserved Components: Bootstrap Forecast and Conditional Heteroscedasticity".

M.A., Business Administration and Quantitative Methods, 2006 Universidad Carlos III de Madrid, Getafe, Madrid.

B.A., Economics, 2001 Universidad Nacional de Cordoba (UNC), Córdoba, Argentina.

Fields of Interest

Dynamic models and empirical applications in economics and financial time series.

Publications

"Bootstrap Prediction Intervals in State Space Models" (2009). Journal of Time Series Analysis, Vol 30, 167-178. (With E. Ruiz)
Abstract: Prediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the uncertainty due to parameter estimation. Second, the Gaussianity assumption of future innovations may be inaccurate. To overcome these drawbacks, Wall and Stoffer (2002) propose to obtain prediction intervals by using a bootstrap procedure that requires the backward representation of the model. Obtaining this representation increases the complexity of the procedure and limits its implementation to models for which it exists. The bootstrap procedure proposed by Wall and Stoffer (2002) is further complicated by fact that the intervals are obtained for the prediction errors instead of for the observations. In this paper, we propose a bootstrap procedure for constructing prediction intervals in State Space models that does not need the backward representation of the model and is based on obtaining the intervals directly for the observations. Therefore, its application is much simpler, without loosing the good behavior of bootstrap prediction intervals. We study its finite sample properties and compare them with those of the standard and the Wall and Stoffer (2002) procedures for the Local Level Model. Finally, we illustrate the results by implementing the new procedure to obtain prediction intervals for future values of a real time series.

“A Parametric Estimation of Personal Income Distribution in Argentina Using the Dagum Model”. Special Issue of the Journal of the Inter-American Statistical Institute (IASI), “Estadística” Volume 55, Numbers 164-165, 2003. (With H. Gertel, R. Giuliodori, P. Auerbach),
Abstract: The paper seeks to apply the Dagum generating model of income distribution functions to study the location and shape parameters of a sample distribution function of individual income receivers belonging to Greater Córdoba, its evolution in 1992-2000, and the impact that the persistent increase in unemployment exerted on inequality. A comparative analysis of income distribution between the Capital region of Argentina, represented by the Greater Buenos Aires, and the rest of the country, reflected in the analysis of Greater Córdoba, is included.

Article in Edited Books

Analysis of the Short Term Impact of the Argentine Social Assistance Program `Plan Jefes y Jefas' on Income Inequality Applying the Dagum Decomposition Analysis of the Gini Ratio (Working Paper), 2008, with H. Gertel and R. Giuliodori, in Gianni Betti and Achille Lemmi (eds.), Advances on Income Inequality and Concentration Measures, Routledge, UK.

Working Papers

(Job Market paper) "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters" (2009). (With Esther Ruiz)

"La contribución de la educación y la diferenciación por sexo en las medidas de desigualdad del ingreso". Publications of the Universidad de Belgrano, working paper Nº 111, Buenos Aires, Argentina, 2003. (With H. Gertel and R. Giuliodori)

"Un ejercicio de descomposición del Coeficiente de Gini para la distribución del ingreso entre poblaciones con diferente nivel de escolaridad de Argentina. Año 2002". 2002. (With H. Gertel and R. Giuliodori)

"Does Schooling Contribute to Increase Individuals´ Chances to Access The More Affluent Income Groups?". 2002. (With H. Gertel and R. Giuliodori)

"Unemployment and income distribution analysis. New evidences using a Dagum parametric income distribution model". 2001. (With H. Gertel, R. Giuliodori and P. Auerbach)

"Evaluating equality using parametric income Distribution models. An exploration of alternative effects using a Dagun Parametric income distribution model". 2001. (With H. Gertel, R. Giuliodori and P. Auerbach).

Works in Progress

"Bootstrapping Stochastic Volatility Processes". (With E. Ruiz)

"Determining the Source of Heteroscedasticity in Conditional Heteroscedastic Unobserved Component Models". (With E. Ruiz)