Overview
Lucrezia Reichlin is a macroeconometrician at the London Business School and former Director General of Research at the European Central Bank. Her work spans dynamic factor models, large Bayesian VARs, and forecasting/nowcasting with large datasets, including the generalized dynamic factor model.
Key Contributions / Features
- Generalized Dynamic Factor Model (Forni-Hallin-Lippi-Reichlin 2000): Identification and estimation of large-dimensional dynamic factor models. Review of Economics and Statistics 82: 540–554.
- Large Bayesian VARs (Bańbura-Giannone-Reichlin 2010): Bayesian shrinkage for large VARs, competitive with factor models. Journal of Applied Econometrics 25(1): 71–92.
- Forecasting with many predictors (De Mol-Giannone-Reichlin 2008): Bayesian regression vs. principal components for large panels.
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