Overview
Marco Del Negro is an economist at the Federal Reserve Bank of New York specializing in Bayesian macroeconometrics, DSGE modeling, and forecasting. He is known for the DSGE-VAR framework (with Frank Schorfheide) and for practical contributions to Bayesian estimation of time-varying and stochastic-volatility models.
Key Contributions / Features
- Corrigendum to Primiceri (2005) — Del Negro–Primiceri (2015): With Giorgio Primiceri, corrected the MCMC step-ordering error in the TVP-SVAR-with-stochastic-volatility estimation algorithm and gave the general recipe for applying the Kim–Shephard–Chib mixture-of-normals volatility procedure correctly across VAR/DSGE/factor/UC models. See Del Negro-Primiceri (2015) and Time-Varying Parameter VAR.
- DSGE-VAR (Del Negro–Schorfheide 2004): A framework using a DSGE model as a prior for a VAR, with a hyperparameter governing how tightly the VAR is shrunk toward the DSGE restrictions. See DSGE Model.
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