Overview
Daniel Waggoner is an econometrician at the Federal Reserve Bank of Atlanta, known for foundational technical contributions to Bayesian VAR methodology in collaboration with Tao Zha.
Key Contributions / Features
- Waggoner-Zha (2003a) — "A Gibbs Simulator for Structural Vector Autoregressions" (Journal of Economic Dynamics & Control): Gibbs sampler for identified VARs under linear restrictions; enables the Chib MDD algorithm for restricted VARs (see Marginal Data Density).
- Waggoner-Zha (2003b) — "Likelihood-Preserving Normalization in Multiple Equation Models" (Journal of Econometrics): normalization rule preventing spuriously multi-modal posteriors in non-recursive VARs (see Error Bands).
- Rubio-Ramirez-Waggoner-Zha (2005) — Markov-switching structural VARs: theory and applications (see Markov-Switching VAR).
Related