Overview
Andrea Carriero is an econometrician (Queen Mary University of London; University of Bologna) working on Bayesian VARs, large-dimensional macroeconometric forecasting, and stochastic-volatility models.
Key Contributions / Features
- BVAR specification choices (Carriero-Clark-Marcellino 2015): systematic study showing simple, fixed conjugate-prior choices forecast about as well as optimized ones. Journal of Applied Econometrics 30(1): 46–73.
- Common drifting volatility in large BVARs (Carriero-Clark-Marcellino 2016/2019): large Bayesian VARs with a common stochastic-volatility factor.
- Contributions to large-BVAR estimation (triangularization, order-invariance) and macro forecasting.
Related