Overview
Nikolas Kuschnig is an economist at WU Vienna University of Economics and Business working on Bayesian macroeconometrics and causal inference. He is the lead author and maintainer of the BVAR R package for Bayesian vector autoregressions with hierarchical prior selection.
Key Contributions / Features
- BVAR R package — Kuschnig–Vashold (2021): Lead author of the Journal of Statistical Software reference implementation of Bayesian VARs with Giannone–Lenza–Primiceri hierarchical prior selection — Minnesota and dummy-observation priors, Metropolis-Hastings exploration of the hyperparameter posterior, structural impulse responses, and forecasting. See Kuschnig-Vashold (2021) and Bayesian VAR.
Related