Author

Niko Hauzenberger

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Sep 2026

Bayesian modeling of time-varying parameter vector autoregressions using regression trees

In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper develops a semiparametric TVP vector autoregression (VAR) using Bayesian additive regression trees (BART) that models the TVPs as an unknown function of effect modifi...

Niko Hauzenberger, Florian Huber, Gary Koop et al. · Annals of Applied Statistics · 0 citations

Preprint Jul 2026

Conditional projection methods for large-scale Bayesian VARs

This work develops fast methods for conditional forecasting and structural scenario analysis with high-dimensional Bayesian vector autoregressions (VARs) and compute counterfactual predictions for oil price scenarios in the context of the 2026 closure of the Strait of Hormuz.

Niko Hauzenberger, Michael Pfarrhofer · 0 citations