Rómulo A. Chumacero

Empirical Analysis of Systematic Errors in Chilean GDP Forecasts

This paper presents a statistical comparison between the actual and predicted evolution of the Chilean GDP for the period 1986-98 made by several forecasters. We show that the forecasters systematically underestimate the true growth rate of the economy. The magnitude of this bias tends to be correlated with the phase of the business cycle. Copyright

Estimating ARMA Models Efficiently

This paper presents the asymptotic and finite sample properties of the efficient method of moments and indirect inference, when applied to estimating stationary ARMA models. Issues such as identification, model selection, and testing are also discussed. The properties of these estimators are compared to those of maximum likelihood using Monte Carlo experiments for both invertible and noninvertible ARMA models.

VaR Limits for Pension Funds: An Evaluation ∗

Este articulo evalua los efectos de un limite de Value-at-Risk (VaR) y de limites cuantitativos sobre la seleccion de cartera en el contexto de un marco de supervision basada en riesgo (SBR). Se muestran las condiciones bajo las cuales una restriccion de VaR es equivalente a restricciones de volatilidad. El articulo tambien muestra algunas consideraciones que los reguladores debiesen tomar en cuenta al adoptar un marco de SBR..

Evo, Pablo, Tony, Diego, and Sonny - General Equilibrium Analysis of the Illegal Drugs Market

This paper presents a general equilibrium model for the production, trafficking, and consumption of illegal drugs which endogenously determines relative prices and quantities. The model is calibrated to characterize the market for cocaine and is used to analyze the effects of three types of policies: making the illegal activities riskier, increasing the penalties for conducting illegal activities, and legalizing previously illegal activities. Assessing the effects of these policies using the powerful tool of a general equilibrium model provides illuminating (and in cases surprising) results.

Vouchers, choice, and public policy: An overview

The educational voucher system builds on the pillars of informed choice and competition to improve the quality of the education provided. This document summarizes some of the results of recent literature on the subject, and discusses their public policy implications.

Competition Pressures and Academic Performance in Chile

The positive impact that competition has on performance in most industries has been questioned in the education sector. The difficulty to measure competition, the idea that parents don’t rationally choose schools for their children, and that schools do not react to that choice is in the center of the debate. We critically analyze the prevailing methodology in the literature that relates competition and educational performance, and the data used to estimate that impact. We propose a methodology that considers relevant substitutes for each school using various attributes which parents consider when choosing schools, and we apply it to estimate the effect of competition on educational performance in Chile, were more than 90% of the students are covered by a voucher. The evidence supports the hypothesis that competition has a positive, statistically significant, and economically relevant educational impact on private and public schools.

Forty Years of Estudios de Economía

. In its beginnings, the journal mainly published empirical papers focused on the Chilean economy. Now, it has naturally progressed to become a general purpose journal that intends to publish theoretical and empirical papers on the frontier of the discipline.After forty years and more than five hundred papers published,

On the Importance of the Arrival of New Information

This paper develops a framework for evaluating the importance of the arrival of new information for forecasting, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides guidelines for detecting outliers, influential observations, innovations, and possible breaks in the end of the sample. The methodology is applied to analyze the Chilean CPI inflation.