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
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