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Pilar Poncela Blanco

Full Professor of Econometrics


Ph.D. in Economics – Universidad Carlos III de Madrid

Industrial Engineering – Universidad de Valladolid

Pilar Poncela is Professor of Econometrics and director of the master’s program in Quantitative Economic Analysis at Universidad Autonoma de Madrid, Spain. She has an Electrical Engineering Degree from Universidad de Valladolid, Spain, and received her PhD in Economics from Universidad Carlos III de Madrid. Her research interests are focused on forecasting, mainly macro forecasting and the combination of forecasts, although dynamic factor models and applied macroeconomics are also in her research agenda. She has collaborated with European institutions and has held positions at the Bank of Spain (fellowship) and the European Commission, Joint Research Centre, Ispra, Italy (senior researcher). She has published her research in journals such as International Journal of Forecasting, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Applied Econometrics, Applied Energy and Advances in Data Analysis and Classification, among others. She is a Fellow of the UC3M-Santander Big Data Institute. She was visiting scholar at The University of Chicago’s Graduate School of Business (1998). She has also enjoyed several research sojourns at ITAM (México), National University of Colombia and Cass Business School (UK), among others. Her research has been funded by the Spanish Ministry of Education, the Spanish Ministry of Science and Technology, the Spanish Ministry of Economy and Competitiveness and the Madrid Research Council. She has supervised several PhD students working on forecasting. She has been consultant for Lease Plan, BBVA, Credito & Caucion Insurance Company and the National Traffic Department.


Economic Time Series

Research Interests

Economic forecasting, time series analysis, dynamic factor models, Markov switching models, business cycle analysis, the combination of forecasts, wind power forecasting, applied macroeconomics

Selected publications

“A fragmented-periodogram approach for clustering big data financial time series” (2020) with J. Caiado y N. Crato. Advanced Data Analysis and Classification 14,117–146.


Circulant Singular Spectrum Analysis: A new automated procedure for signal extraction” (2021) with J. Bógalo, y E. SenraSignal Processing 179, 107824 (


“Factor extraction using Kalman filter and smoothing: This is not just another survey” (2021) con K. Miranda y E. Ruiz. International Journal of Forecasting (in press, ).