Overview
Piotr Eliasz is an econometrician who (as a Princeton PhD student) co-developed the factor-augmented VAR with Ben Bernanke and Jean Boivin, contributing the Bayesian state-space estimation of the latent factors.
Key Contributions / Features
- FAVAR (Bernanke-Boivin-Eliasz 2005): factor-augmented VAR for measuring monetary-policy effects in a data-rich environment, including the one-step Gibbs-sampler estimation of factors and VAR jointly.
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