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