Overview
Marta Bańbura is an econometrician at the European Central Bank. Her research focuses on Bayesian vector autoregressions, large-dimensional macroeconomic forecasting, dynamic factor models, and nowcasting.
Key Contributions / Features
- Large Bayesian VARs (Bańbura-Giannone-Reichlin 2010): Showed that Bayesian shrinkage tuned to model size makes VARs with 100+ variables feasible, accurate, and structurally usable — competitive with factor models for forecasting and credible for impulse-response analysis. Journal of Applied Econometrics 25(1): 71–92.
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