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Prediciendo el precio del cobre: ¿M�s all� del camino aleatorio?

  • Eduardo Engel

    ()

  • Rodrigo Valdés

    ()

En este trabajo se compara la capacidad predictiva de mediano plazo (1 a 5 a�os) de una variada gama de modelos de series cronol�gicas para el precio del cobre. El criterio de comparaci�n es el error cuadr�tico medio de predicciones fuera de muestra. Entre los modelos considerados destacan medias m�viles, 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 cronol�gicas entregan mejores predicciones de mediano plazo que los modelos econom�tricos.

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File URL: http://www.dii.uchile.cl/~cea/sitedev/cea/www/download.php?file=documentos_trabajo/ASOCFILE120030404112717.pdf
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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
Contact details of provider: Web page: http://www.dii.uchile.cl/cea/

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  1. Warr, Peter G., 1990. "Predictive performance of the World Bank's commodity price projections," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 4(3-4), December.
  2. 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.
  3. Ken Froot & Kenneth Rogoff, . "Perspectives on PPP and Long-Run Real Exchange Rates," Working Paper 32027, Harvard University OpenScholar.
  4. 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.
  5. 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,.
  6. 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.
  7. Deaton, A.S., 1992. "Commodity Prices, Stabilization, and Growth in Africa," Papers 166, Princeton, Woodrow Wilson School - Development Studies.
  8. 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.
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