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

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Listed:
  • Eduardo Engel

  • Rodrigo Valdés

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.

Suggested Citation

  • Eduardo Engel & Rodrigo Valdés, 2001. "Prediciendo el precio del cobre: ¿Más allá del camino aleatorio?," Documentos de Trabajo 100, Centro de Economía Aplicada, Universidad de Chile.
    • Handle: RePEc:edj:ceauch:100
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    References listed on IDEAS

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    Cited by:

    1. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2020. "A random walk through the trees: Forecasting copper prices using decision learning methods," Resources Policy, Elsevier, vol. 69(C).
    2. Alejandro Drexler & Eduardo Engel & Rodrigo O. Valdés, 2001. "El cobre y estrategia fiscal óptima para Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Felipe Morandé & Rodrigo Vergara & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series Edit (ed.),Análisis Empírico del Ahorro en Chile, edition 1, volume 1, chapter 9, pages 263-280, Central Bank of Chile.
    3. Patricio Meller, 2002. "El cobre chileno y la política minera," Documentos de Trabajo 142, Centro de Economía Aplicada, Universidad de Chile.
    4. Ercio Muñoz & Pablo Cruz, 2012. "Uso de un Modelo Favar para Proyectar el Precio del Cobre," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 84-95, December.

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