Overview
Lukas Vashold is an economist at WU Vienna University of Economics and Business, co-author of the BVAR R package for Bayesian vector autoregressions with hierarchical prior selection.
Key Contributions / Features
- BVAR R package — Kuschnig–Vashold (2021): Co-author of the Journal of Statistical Software implementation of Bayesian VARs with Giannone–Lenza–Primiceri hierarchical prior selection (Minnesota and dummy-observation priors, Metropolis-Hastings over hyperparameters, structural impulse responses, forecasting). See Kuschnig-Vashold (2021) and Bayesian VAR.
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