Ignacio conducts research on theoretical econometrics, data management, machine learning, financial econometrics, time series, applied econometrics, forecasting, nonparametric procedures, and nonlinear methods. His recent econometric research has focused on inference in models defined by conditional moment restrictions, as well as time series methods for non-causal and non-invertible linear models.

Ignacio supervises research on theoretical econometrics, applications of  machine learning (such as forecasting diabetes or economic forecasting using payment system), macroeconometrics (such as VAR and ECM models) and financial econometrics.