Available for interviews at
European Job Market for Economists (EEA)
Allied Social Science Associations (ASSA)
Primary fields: Time Series Econometrics and Nonparametric Econometrics
Secondary fields: Applied Macroeconomics and International Economics
"Local Polynomial Estimation of Time-Varying Parameters in GMM” (Job Market Paper)
In this paper I propose a new nonparametric GMM estimator in the presence of time-varying parameters where the estimation of true time-varying parameters is carried out by polynomial approximation fitting as in Fan and Gijbels (1996) and Kristensen and Lee (2019). I show that the proposed estimator retains the properties of consistency and asymptotic normality of the standard GMM under the assumption of uniform locally stationarity introduced by Dahlhaus et al. (1997). In a Monte Carlo study, the proposed estimator exhibits good performance under various cases of interest such as the Moving Average model and ARCH model and under different functional forms for the parameters. In the application, I study a simple gravity model for international trade with varying parameters for the US economy and main trade partners and find evidence of varying effects of importer GDP and distance on US exports.
Research Papers in Progress
"Time-varying Functional Local Projection"
"Optimal Forecasting with Weighted Least Squares Estimation of Autoregressive Models"
“Modelling and Forecasting Money Demand: Divide and Conquer” (with C. Carrera)
"US Monetary Policy Shocks Transmission to Latin America: A GVAR Approach"
Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 32, pages 35-54. 2016 (In Spanish)