Chan | Crawford School of Public Policy

Comparing Hybrid Time-Varying Parameter VARs

Vol: 31/2018 Authors: Joshua C.C. Chan, Eric Eisenstat Month: June Year: 2018

Chan
Model Uncertainty and Macro-Econometrics

24 October 2019

Large Hybrid Time-Varying Parameter VARs

Vol: 77/2019 Author: Joshua C.C. Chan Month: October Year: 2019

Chan
Model Uncertainty and Macro-Econometrics

18 December 2020

Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility

Vol: 108/2020 Authors: Joshua C.C. Chan, Xuewen Yu Month: December Year: 2020

Chan
Model Uncertainty and Macro-Econometrics

14 October 2020

Bayesian State Space Models in Macroeconometrics

Vol: 90/2020 Authors: Joshua C.C. Chan, Rodney W. Strachan Month: October Year: 2020

Chan
Strachan
Model Uncertainty and Macro-Econometrics

26 February 2019

Large Bayesian Vector Autoregressions

Vol: 19/2019 Authors: Joshua C. C. Chan Month: February Year: 2019

Chan
Model Uncertainty and Macro-Econometrics

26 October 2018

Reducing Dimensions in a Large TVP-VAR

Vol: 49/2018 Authors: Joshua C.C. Chan, Eric Eisenstat, Rodney W. Strachan Month: October Year: 2018

Chan
Strachan
Model Uncertainty and Macro-Econometrics

Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs

Vol: 61/2019 Author: Joshua C. C. Chan Month: August Year: 2019

Chan
Model Uncertainty and Macro-Econometrics

Asymmetric Conjugate Priors for Large Bayesian VARs

Vol: 51/2019 Author: Joshua C. C. Chan Month: July Year: 2019

Chan
Model Uncertainty and Macro-Econometrics

Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility

Vol: 26/2018 Authors: Joshua C.C. Chan, Eric Eisenstat, Chenghan Hou, Gary Koop Month: May Year: 2018

Chan
Model Uncertainty and Macro-Econometrics

Efficient Selection of Hyperparameters in Large Bayesian VARs Using Automatic Differentiation

Vol: 46/2019 Authors: Joshua C. C. Chan, Liana Jacobi, Dan Zhu Month: June Year: 2019

Chan
Model Uncertainty and Macro-Econometrics

An Automated Prior Robustness Analysis in Bayesian Model Comparison

Vol: 45/2019 Authors: Joshua C. C. Chan, Liana Jacobi, Dan Zhu Month: June Year: 2019

Chan
Model Uncertainty and Macro-Econometrics

Stochastic Volatility Models with ARMA Innovations: An Application to G7 Inflation Forecasts

Vol: 32/2018 Authors: Bo Zhang, Joshua C.C. Chan, Jamie L. Cross Month: June Year: 2018

Zhang
Chan
Cross
Model Uncertainty and Macro-Econometrics

How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis

Vol: 25/2018 Authors: Joshua C.C. Chan, Liana Jacobi, Dan Zhu Month: May Year: 2018

Chan
Model Uncertainty and Macro-Econometrics

21 December 2020

An Unobserved Components Model of Total Factor Productivity and the Relative Price of Investment

Vol: 109/2020 Authors: Joshua C.C. Chan, Edouard Wemy Month: December Year: 2020

Chan
Model Uncertainty and Macro-Econometrics

31 October 2018

Multivariate Stochastic Volatility with Co- Heteroscedasticity

Vol: 52/2018 Authors: Joshua Chan, Arnaud Doucet, Roberto León-González, Rodney W. Strachan Month: October Year: 2018

Chan
Strachan
Model Uncertainty and Macro-Econometrics

25 October 2017

Measuring Inflation Expectations Uncertainty Using High-Frequency Data

Vol: 61/2017 Authors: Joshua C.C. Chan, Yong Song Month: October Year: 2017

Chan
Model Uncertainty and Macro-Econometrics

20 January 2017

Measuring the Output Gap Using Stochastic Model Specification Search

Vol: 02/2017 Authors: Joshua C.C. Chan, Angelia L. Grant Month: January Year: 2017

Chan
Model Uncertainty and Macro-Econometrics

Modeling energy price dynamics: GARCH versus stochastic volatility

Vol: 20/2015 Author name: Chan JCC; Grant AL Year: 2015 Month: June

Chan
Model Uncertainty and Macro-Econometrics program

Bayesian model comparison for time-varying parameter VARs with stochastic volatility

Vol: 32/2015 Author name: Chan JCC; Eisenstat Eric Year: 2015 Month: August

Chan
Model Uncertainty and Macro-Econometrics program

Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter

Vol: 44/2016 Authors: Joshua C.C. Chan, Angelia L. Grant Month: July Year: 2016

Chan
Model Uncertainty and Macro-Econometrics

The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling

Vol: 07/2015 Author name: Chan JCC Year: 2015 Month: March

Chan
Model Uncertainty and Macro-Econometrics program

Efficient estimation of Bayesian VARMAs with time-varying coefficients

Vol: 19/2015 Author name: Chan JCC; Eisenstat E Year: 2015 Month: June

Chan
Model Uncertainty and Macro-Econometrics program

Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean

Vol: 08/2015 Author name: Chan JCC; Grant AL Year: 2015 Month: March

Chan
Grant
Model Uncertainty and Macro-Econometrics program

17 November 2015

Specification tests for time-varying parameter models with stochastic volatility

Vol: 42/2015 Author name: Chan JCC Year: 2015 Month: November

Chan
Model Uncertainty and Macro-Econometrics program

A Bayesian model comparison for trend-cycle decompositions of output

Vol: 31/2015 Author name: Chan JCC; Grant AL Year: 2015 Month: August

Chan
Model Uncertainty and Macro-Econometrics program

09 November 2015

Large Bayesian VARs: A flexible Kronecker error covariance structure

Vol: 41/2015 Author name: Chan JCC Year: 2015 Month: November

Chan
Model Uncertainty and Macro-Econometrics program

Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion

Vol: 51/2014 Authors: Joshua C.C. Chan, Angelia L. Grant Month: July Year: 2014

Chan
Grant
Model Uncertainty and Macro-Econometrics

Stochastic Model Specification Search for Time-Varying Parameter VARs

Vol: 23/2014 Authors: Eric Eisenstat, Joshua C.C. Chan, Rodney W. Strachan Month: March Year: 2014

Chan
Strachan
Model Uncertainty and Macro-Econometrics

27 January 2014

A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve

Vol: 10/2014 Authors: Joshua C.C. Chan, Gary Koop, Simon M. Potter Month: January Year: 2014

Chan
Model Uncertainty and Macro-Econometrics

23 January 2014

Fast Computation of the Deviance Information Criterion for Latent Variable Models

Vol: 09/2014 Authors: Joshua C.C. Chan, Angelia L. Grant Month: January Year: 2014

Chan
Grant
Model Uncertainty and Macro-Econometrics

28 November 2013

Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

Vol: 74/2013 Authors: Joshua C C Chan, Cody Y L Hsiao Month: November Year: 2013

Chan
Hsiao
Model Uncertainty and Macro-Econometrics

Invariant Inference and Efficient Computation in the Static Factor Model

Vol: 32/2013 Authors: Joshua C.C. Chan, Roberto Leon-Gonzalez, Rodney W. Strachan Month: June Year: 2013

Chan
Strachan
Model Uncertainty and Macro-Econometrics

Moving Average Stochastic Volatility Models with Application to Inflation Forecast

Vol: 31/2013 Author: Joshua C.C. Chan Month: May Year: 2013

Chan
Model Uncertainty and Macro-Econometrics

A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion

Vol: 15/2013 Authors: Joshua C.C. Chan, Cody Yu-Ling Hsiao, Renée A. Fry-McKibbin Month: March Year: 2013

Chan
Hsiao
Fry-McKibbin
Model Uncertainty and Macro-Econometrics