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Prediciendo el precio del cobre: ¿Más allá del camino aleatorio?

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Author Info
Eduardo Engel ()
Rodrigo Valdés ()

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Abstract

En este trabajo se compara la capacidad predictiva de mediano plazo (1 a 5 años) de una variada gama de modelos de series cronológicas para el precio del cobre. El criterio de comparación es el error cuadrático medio de predicciones fuera de muestra. Entre los modelos considerados destacan medias móviles, procesos ARIMA, precios futuros, modelos no lineales ESTAR y modelos de uno, dos y tres factores (estimados mediante el filtro de Kalman) utilizados en finanzas. Se concluye que los dos modelos con mejor capacidad predictiva son el proceso autoregresivo de primer orden y el camino aleatorio. Finalmente se presenta evidencia sugiriendo que los modelos de series cronológicas entregan mejores predicciones de mediano plazo que los modelos econométricos.

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Paper provided by Centro de Economía Aplicada, Universidad de Chile in its series Documentos de Trabajo with number 100.

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Date of creation: 2001
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Handle: RePEc:edj:ceauch:100

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-79, August.
  2. Kenneth A. Froot & Kenneth Rogoff, 1996. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Cuddington, John T & Urzua, Carlos M, 1989. "Trends and Cycles in the Net Barter Terms of Trade: A New Approach," Economic Journal, Royal Economic Society, vol. 99(396), pages 426-42, June. [Downloadable!] (restricted)
  4. Alejandro Drexler & Eduardo Engel & Rodrigo Valdés, 2001. "El cobre y la estrategia fiscal óptima para Chile," Documentos de Trabajo 101, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
  5. Deaton, A.S., 1992. "Commodity Prices, Stabilization, and Growth in Africa," Papers 166, Princeton, Woodrow Wilson School - Development Studies.
  6. Gersovitz, M. & Paxson, C.H., 1990. "The Economies Of Africa And The Prices Of Their Exports," Princeton Studies in International Economics 68, International Economics Section, Departement of Economics Princeton University,.
  7. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July. [Downloadable!] (restricted)
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  1. Jose De Gregorio & Hermann González & Felipe Jaque, 2005. "Fluctuaciones del Dólar, Precio del Cobre y Términos de Intercambio," Working Papers Central Bank of Chile 310, Central Bank of Chile. [Downloadable!]
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