Loredana Federico

Overview

Loredana Federico is the co-author, with Gianni Amisano, of the 2004 study on alternative time-varying parameter specifications for Bayesian VAR models. Her contribution in this wiki is confined to that paper; biographical details beyond the co-authorship are not recorded here.

Key Contributions / Features

• Amisano and Federico (2004) — "Alternative Time-Varying Parameter Specifications for Bayesian VAR Models": compared four specifications for the state equation error covariance $\Omega$ in VAR-TVP models, establishing the Kronecker structure $\Omega = \rho(R \otimes Q_k)$ as the best practical choice for Euro area inflation forecasting, and compared Chib, Gelfand-Dey, and Laplace marginal likelihood methods.

Related

• Gianni Amisano
• Time-Varying Parameter VAR
• Vector Autoregression