Santiago Pellegrini

I am a PhD. candidate at the Statistics Department and my supervisors are Prof. Esther Ruiz and Prof. Antoni Espasa. The topic of my dissertation is Forecasting in unobserved component models with conditionally heteroscedastic noises.

ARIMA-GARCH and unobserved component models with GARCH disturbances: Are their prediction intervals different? (with Esther Ruiz and Antoni Espasa).
Job Market Paper

We analyze the effects on prediction intervals of fitting ARIMA models to series with stochastic trends, when the underlying components are heteroscedastic. We show that ARIMA prediction intervals may be inadequate when only the transitory component is heteroscedastic. In this case, prediction intervals based on the unobserved component models tend to the homoscedastic intervals as the prediction horizon increases. However, prediction intervals based on the ARIMA model incorporate the unit root, so they diverge for ever from the homoscedastic intervals. We focus on the local level and smooth trend models. All the results are illustrated with simulated and real time series.

The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances (2007), WP 27-07, Universidad Carlos III de Madrid.   (with Esther Ruiz and Antoni Espasa).

The objective of this paper is to analyze the consequences of fitting ARIMA-GARCH models to series generated by conditionally heteroscedastic unobserved component models. Focusing on the local level model, we show that the heteroscedasticity is weaker in the ARIMA than in the local level disturbances. In certain cases, the IMA(1,1) model could even be wrongly seen as homoscedastic. Next, with regard to forecasting performance, we show that the prediction intervals based on the ARIMA model can be inappropriate as they incorporate the unit root while the intervals of the local level model can converge to the homoscedastic intervals when the heteroscedasticity appears only in the transitory noise. All the analytical results are illustrated with simulated and real time series.

The equilibrium exchange rate of Argentina (2003), Series de Investigación, Instituto de Economía y Finanzas, UNC, Argentina (with Alejandro Gay).
 
An open economy model with two countries and two sectors (tradable and non tradable with sticky prices) is used to deduce the equation of the equilibrium real exchange rate, considering the maximization of the intertemporal utility function by the representative agent. Examined from a stock-flow perspective and based on the Johansen cointegration estimation methodology, the long-run behavior of the real exchange rate of Argentina in the period 1968-2002 can be explained by net foreign assets, relative sectoral productivities and terms of trade. On the basis of these fundamentals, the degree of misalignment is assessed. From the analysis of the dynamics of the model, it can be inferred that the collapse of the Convertibility fixed exchange rate was inevitable after the shocks initiated with East-Asian currency crises.