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I am a senior economist at the Research Department of the Central Bank of Chile.

I did my Ph.D. at CEMFI, under the supervision of Manuel Arellano  and Stephane Bonhomme 

My research interests are econometrics of panel data and applied macroeconomics with a particular interest in modeling latent productivities, production function estimation, and modeling error dependence.


You can see my CV HERE . 
Working Papers
 Revision requested at Journal of Applied Econometrics
This paper studies alternative approaches to consider time and spatial dependence in aggregate panel models where neither N nor T is very large, a problem that applied researchers often face when working with country- or state-level panel data. I show that the variance of the two-way cluster standard errors (2CCE) is affected by both types of dependence. Therefore, when neither N nor T is large, these standard errors could be poorly estimated and thus unreliable. As a consequence tests based on the 2CCE might perform poorly in terms of rejection rates, even in panels with a moderate sample size. I show that the cluster estimator can be expressed as a fully flexible panel version of the spatial autoregressive model. Then, it is possible to exploit that insight and use some prior knowledge about the dependence to estimate more parsimonious models that deliver more precise standard errors. In a calibrated Monte Carlo exercise using state minimum wage data, I show that using a panel version of the spatial model yields substantially better results than using the 2CCE when N and T are as small as 50 and 30. Finally, I study the implications of considering both types of dependence within a state-year panel data of wage inequality and minimum wages in the US. When both types of error dependence are considered, the marginal effect of the minimum wage over wage inequality is no longer significant.
Revision requested at Econometrica
The sectoral composition of GDP is largely affected by the investment rate of the economy. Using Input-Output data for a panel of countries we present two novel facts consistent with this idea: (a) investment goods contain more domestic value added from manufacturing and less from services than consumption goods do, (b) the evolution of the sectoral composition of investment and consumption goods differs from the one of GDP. A multi-sector growth model estimated with a panel of countries shows that changes in investment demand are quantitatively important to understand the industrialization of several countries since 1950, the deindustrialization of many Western economies since 1970, and the hump-shaped relationship between manufacturing and development, which has been a challenge for theories of structural change under balanced growth. The different composition of investment and consumption goods can also explain up to 1/2 of the decline in its relative price since 1980. 
I develop a flexible framework to jointly estimate the aggregate capital-labor elasticity of substitution and the labor- and capital- augmenting technologies from a panel of production functions and use it to shed light on the global decline of the labor share and development accounting. In contrast to previous studies, my framework considers unobserved country heterogeneity in the parameters. I use nonlinear factor models to control for time-varying unobserved labor- and capital- augmenting technologies that might be correlated with the production function’s inputs. Estimation is based on posterior distributions in a Bayesian fixed effects framework. I find evidence of substantial country heterogeneity in the elasticity of substitution, with a mean of 0.90. The bias in technical change is the dominant mechanism in explaining the labor share decline in most countries. However, the increase in capital accumulation is also an important mechanism for some countries. Finally, I find evidence to support directed technical change models. 
 

Current Projects
Inference for Data with High-Dimensional Dependence Structures (with Christian Hansen, Damian Kozbur and  Jianfei Cao)
Investment and Saving along the Development Path (with Manuel Garcia-Santana and Josep Pijoan-Mas)

 

 

 

 







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