Overview
Domenico Giannone is a macroeconometrician (Federal Reserve Bank of New York, ECB, and Université libre de Bruxelles) known for work on large Bayesian VARs, dynamic factor models, forecasting with many predictors, prior selection, and nowcasting.
Key Contributions / Features
- Large Bayesian VARs (Bańbura-Giannone-Reichlin 2010): Bayesian shrinkage set in relation to the cross-sectional dimension makes large VARs work. Journal of Applied Econometrics 25(1): 71–92.
- Prior Selection for VARs (Giannone-Lenza-Primiceri 2015): A hierarchical / marginal-likelihood approach that turns ad hoc shrinkage tuning into a formal procedure. Review of Economics and Statistics 97(2): 436–451.
- Forecasting with many predictors (De Mol-Giannone-Reichlin 2008): Bayesian regression as an alternative to principal components for large-panel forecasting.
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