Joshua C.C. Chan
Names
| first: |
Joshua |
| middle: |
C.C. |
| last: |
Chan |
Identifer
Contact
Affiliations
-
Purdue University
/ Mitchell E. Daniels, Jr. School of Business
/ Department of Economics
Research profile
author of:
- Time Varying Dimension Models (RePEc:acb:cbeeco:2010-523)
by Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan - Monte Carlo Methods for Portfolio Credit Risk (RePEc:acb:cbeeco:2012-579)
by Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan - Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments (RePEc:acb:cbeeco:2012-580)
by Joshua C.C. Chan & Justin L. Tobias - A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve (RePEc:acb:cbeeco:2012-590)
by Joshua C C Chan & Gary Koop & Simon M Potter - Moving Average Stochastic Volatility Models with Application to Inflation Forecast (RePEc:acb:cbeeco:2012-591)
by Joshua C C Chan - Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables (RePEc:acb:cbeeco:2013-603)
by Joshua C.C. Chan & Gary Koop - Gibbs Samplers for VARMA and Its Extensions (RePEc:acb:cbeeco:2013-604)
by Joshua C.C. Chan & Eric Eisenstat - On Parameter Estimation in Unobserved Components Models subject to Linear Inequality Constraints (RePEc:arx:papers:2110.12149)
by Abhishek K. Umrawal & Joshua C. C. Chan - Asymmetric Conjugate Priors for Large Bayesian VARs (RePEc:arx:papers:2111.07170)
by Joshua C. C. Chan - Large Order-Invariant Bayesian VARs with Stochastic Volatility (RePEc:arx:papers:2111.07225)
by Joshua C. C. Chan & Gary Koop & Xuewen Yu - Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach (RePEc:arx:papers:2112.11315)
by Joshua C. C. Chan & Aubrey Poon & Dan Zhu - Large Hybrid Time-Varying Parameter VARs (RePEc:arx:papers:2201.07303)
by Joshua C. C. Chan - Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility (RePEc:arx:papers:2206.08438)
by Joshua C. C. Chan & Xuewen Yu - Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis (RePEc:arx:papers:2207.03988)
by Joshua Chan & Eric Eisenstat & Xuewen Yu - Comparing Stochastic Volatility Specifications for Large Bayesian VARs (RePEc:arx:papers:2208.13255)
by Joshua C. C. Chan - High-Dimensional Conditionally Gaussian State Space Models with Missing Data (RePEc:arx:papers:2302.03172)
by Joshua C. C. Chan & Aubrey Poon & Dan Zhu - BVARs and Stochastic Volatility (RePEc:arx:papers:2310.14438)
by Joshua Chan - Bayesian State Space Models In Macroeconometrics (RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75)
by Joshua C.C. Chan & Rodney W. Strachan - A regime switching skew-normal model of contagion (RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3)
by Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling - Choosing between identification schemes in noisy-news models (RePEc:bpj:sndecm:v:26:y:2022:i:1:p:99-136:n:2)
by Chan Joshua C. C. & Eisenstat Eric & Koop Gary - Bayesian Econometric Methods (RePEc:cup:cbooks:9781108423380)
by Chan,Joshua & Koop,Gary & Poirier,Dale J. & Tobias,Justin L. - Bayesian Econometric Methods (RePEc:cup:cbooks:9781108437493)
by Chan,Joshua & Koop,Gary & Poirier,Dale J. & Tobias,Justin L. - Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables (RePEc:edn:sirdps:263)
by Chan, Joshua C.C. & Koop, Gary - A New Model Of Trend Inflation (RePEc:edn:sirdps:315)
by Chan, Joshua & Koop, Gary & Potter, Simon - Large Bayesian VARMAs (RePEc:edn:sirdps:594)
by Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary - Time Varying Dimension Models (RePEc:edn:sirdps:663)
by Chan, Joshua C C & Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W - Fast computation of the deviance information criterion for latent variable models (RePEc:eee:csdana:v:100:y:2016:i:c:p:847-859)
by Chan, Joshua C.C. & Grant, Angelia L. - Modelling breaks and clusters in the steady states of macroeconomic variables (RePEc:eee:csdana:v:76:y:2014:i:c:p:186-193)
by Chan, Joshua C.C. & Koop, Gary - Identifying noise shocks (RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301770)
by Benati, Luca & Chan, Joshua & Eisenstat, Eric & Koop, Gary - Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach (RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000361)
by Chan, Joshua C.C. & Santi, Caterina - Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility (RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002093)
by Chan, Joshua C.C. & Yu, Xuewen - Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter (RePEc:eee:dyncon:v:75:y:2017:i:c:p:114-121)
by Grant, Angelia L. & Chan, Joshua C.C. - Pitfalls of estimating the marginal likelihood using the modified harmonic mean (RePEc:eee:ecolet:v:131:y:2015:i:c:p:29-33)
by Chan, Joshua C.C. & Grant, Angelia L. - Comparing hybrid time-varying parameter VARs (RePEc:eee:ecolet:v:171:y:2018:i:c:p:1-5)
by Chan, Joshua C.C. & Eisenstat, Eric - Moving average stochastic volatility models with application to inflation forecast (RePEc:eee:econom:v:176:y:2013:i:2:p:162-172)
by Chan, Joshua C.C. - Large Bayesian VARMAs (RePEc:eee:econom:v:192:y:2016:i:2:p:374-390)
by Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary - Reducing the state space dimension in a large TVP-VAR (RePEc:eee:econom:v:218:y:2020:i:1:p:105-118)
by Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W. - Comparing stochastic volatility specifications for large Bayesian VARs (RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446)
by Chan, Joshua C.C. - High-dimensional conditionally Gaussian state space models with missing data (RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001628)
by Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan - Efficient estimation of large portfolio loss probabilities in t-copula models (RePEc:eee:ejores:v:205:y:2010:i:2:p:361-367)
by Chan, Joshua C.C. & Kroese, Dirk P. - Modeling energy price dynamics: GARCH versus stochastic volatility (RePEc:eee:eneeco:v:54:y:2016:i:c:p:182-189)
by Chan, Joshua C.C. & Grant, Angelia L. - Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts (RePEc:eee:intfor:v:36:y:2020:i:4:p:1318-1328)
by Zhang, Bo & Chan, Joshua C.C. & Cross, Jamie L. - Minnesota-type adaptive hierarchical priors for large Bayesian VARs (RePEc:eee:intfor:v:37:y:2021:i:3:p:1212-1226)
by Chan, Joshua C.C. - Time Varying Dimension Models (RePEc:een:camaaa:2011-28)
by Joshua C C Chan & Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan - Modelling breaks and clusters in the steady states of macroeconomic variables (RePEc:een:camaaa:2012-07)
by Joshua C C Chan & Gary Koop - A New Model of Trend Inflation (RePEc:een:camaaa:2012-08)
by Joshua C C Chan & Gary Koop & Simon M Potter - Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods (RePEc:een:camaaa:2012-13)
by Joshua Chan & Rodney Strachan - Marginal Likelihood Estimation with the Cross-Entropy Method (RePEc:een:camaaa:2012-18)
by Joshua C C Chan & Eric Eisenstat - A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion (RePEc:een:camaaa:2013-15)
by Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin - Moving Average Stochastic Volatility Models with Application to Inflation Forecast (RePEc:een:camaaa:2013-31)
by Joshua C.C. Chan - Invariant Inference and Efficient Computation in the Static Factor Model (RePEc:een:camaaa:2013-32)
by Joshua C.C. Chan & Roberto Leon-Gonzalez & Rodney W. Strachan - Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence (RePEc:een:camaaa:2013-74)
by Joshua C C Chan & Cody Y L Hsiao - Fast Computation of the Deviance Information Criterion for Latent Variable Models (RePEc:een:camaaa:2014-09)
by Joshua C.C. Chan & Angelia L. Grant - A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve (RePEc:een:camaaa:2014-10)
by Joshua C.C. Chan & Gary Koop & Simon M. Potter - Stochastic Model Specification Search for Time-Varying Parameter VARs (RePEc:een:camaaa:2014-23)
by Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan - Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion (RePEc:een:camaaa:2014-51)
by Joshua C.C. Chan & Angelia L. Grant - The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling (RePEc:een:camaaa:2015-07)
by Joshua C.C. Chan - Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean (RePEc:een:camaaa:2015-08)
by Joshua C.C. Chan & Angelia L. Grant - Efficient estimation of Bayesian VARMAs with time-varying coefficients (RePEc:een:camaaa:2015-19)
by Joshua C.C. Chan & Eric Eisenstat - Modeling energy price dynamics: GARCH versus stochastic volatility (RePEc:een:camaaa:2015-20)
by Joshua C.C. Chan & Angelia L. Grant - A Bayesian model comparison for trend-cycle decompositions of output (RePEc:een:camaaa:2015-31)
by Joshua C.C. Chan & Angelia L. Grant - Bayesian model comparison for time-varying parameter VARs with stochastic volatility (RePEc:een:camaaa:2015-32)
by Joshua C.C. Chan & Eric Eisenstat - Large Bayesian VARs: A flexible Kronecker error covariance structure (RePEc:een:camaaa:2015-41)
by Joshua C.C. Chan - Specification tests for time-varying parameter models with stochastic volatility (RePEc:een:camaaa:2015-42)
by Joshua C.C. Chan - Reconciling output gaps: unobserved components model and Hodrick-Prescott filter (RePEc:een:camaaa:2016-44)
by Joshua C.C. Chan & Angelia L. Grant - Measuring the output gap using stochastic model specification search (RePEc:een:camaaa:2017-02)
by Joshua C C Chan & Angelia L Grant - Measuring inflation expectations uncertainty using high-frequency data (RePEc:een:camaaa:2017-61)
by Joshua C C Chan & Yong Song - How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis (RePEc:een:camaaa:2018-25)
by Joshua C.C. Chan & Liana Jacobi & Dan Zhu - Composite likelihood methods for large Bayesian VARs with stochastic volatility (RePEc:een:camaaa:2018-26)
by Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop - Comparing hybrid time-varying parameter VARs (RePEc:een:camaaa:2018-31)
by Joshua C.C. Chan & Eric Eisenstat - Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts (RePEc:een:camaaa:2018-32)
by Bo Zhang & Joshua C.C. Chan & Jamie L. Cross - Reducing dimensions in a large TVP-VAR (RePEc:een:camaaa:2018-49)
by Joshua C.C. Chan & Eric Eisenstat & Rodney W. Strachan - Multivariate stochastic volatility with co-heteroscedasticity (RePEc:een:camaaa:2018-52)
by Joshua Chan & Arnaud Doucet & Roberto León-González & Rodney W. Strachan - Large Bayesian vector autoregressions (RePEc:een:camaaa:2019-19)
by Joshua C. C. Chan - An automated prior robustness analysis in Bayesian model comparison (RePEc:een:camaaa:2019-45)
by Joshua C. C. Chan & Liana Jacobi & Dan Zhu - Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation (RePEc:een:camaaa:2019-46)
by Joshua C. C. Chan & Liana Jacobi & Dan Zhu - Asymmetric conjugate priors for large Bayesian VARs (RePEc:een:camaaa:2019-51)
by Joshua C. C. Chan - Minnesota-type adaptive hierarchical priors for large Bayesian VARs (RePEc:een:camaaa:2019-61)
by Joshua C. C. Chan - Large hybrid time-varying parameter VARs (RePEc:een:camaaa:2019-77)
by Joshua C.C. Chan - Fast and accurate variational inference for large Bayesian VARs with stochastic volatility (RePEc:een:camaaa:2020-108)
by Joshua C.C. Chan & Xuewen Yu - An unobserved components model of total factor productivity and the relative price of investment (RePEc:een:camaaa:2020-109)
by Joshua C.C. Chan & Edouard Wemy - Bayesian state space models in macroeconometrics (RePEc:een:camaaa:2020-90)
by Joshua C.C. Chan & Rodney W. Strachan - Unknown item RePEc:eme:aeco11:s0731-90532019000040a010 (chapter)
- Unknown item RePEc:eme:aeco11:s0731-90532019000040b004 (chapter)
- Unknown item RePEc:eme:aeco11:s0731-905320200000041008 (chapter)
- How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis (RePEc:eme:aecozz:s0731-90532019000040a010)
by Joshua C. C. Chan & Liana Jacobi & Dan Zhu - An Alternate Parameterization for Bayesian Nonparametric/Semiparametric Regression (RePEc:eme:aecozz:s0731-90532019000040b004)
by Justin L. Tobias & Joshua C. C. Chan - Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance (RePEc:eme:aecozz:s0731-905320200000041008)
by Joshua C. C. Chan & Chenghan Hou & Thomas Tao Yang - A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations (RePEc:fip:fedcwp:1520)
by Joshua C. C. Chan & Todd E. Clark & Gary Koop - Replication of the results in 'learning about heterogeneity in returns to schooling' (RePEc:jae:japmet:v:20:y:2005:i:3:p:439-443)
by Joshua C. C. Chan - Multivariate Stochastic Volatility with Co-Heteroscedasticity (RePEc:ngi:dpaper:18-12)
by Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan - Multivariate Stochastic Volatility with Co-Heteroscedasticity (RePEc:ngi:dpaper:20-09)
by CHAN Joshua & DOUCET Arnaud & Roberto Leon-Gonzalez & STRACHAN Rodney W. - On the Observed-Data Deviance Information Criterion for Volatility Modeling (RePEc:oup:jfinec:v:14:y:2016:i:4:p:772-802.)
by Joshua C. C. Chan & Angelia L. Grant - Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods (RePEc:pra:mprapa:39360)
by Chan, Joshua & Strachan, Rodney - A new model of trend inflation (RePEc:pra:mprapa:39496)
by Chan, Joshua & Koop, Gary & Potter, Simon - Marginal Likelihood Estimation with the Cross-Entropy Method (RePEc:pra:mprapa:40051)
by Chan, Joshua & Eisenstat, Eric - Large Bayesian VARMAs (RePEc:rim:rimwps:15-36)
by Joshua Chan & Eric Eisenstat & Gary Koop - Reducing Dimensions in a Large TVP-VAR (RePEc:rim:rimwps:18-37)
by Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan - Multivariate Stochastic Volatility with Co-Heteroscedasticity (RePEc:rim:rimwps:18-38)
by Joshua Chan & Arnaud Doucet & Roberto León-González & Rodney W. Strachan - Large Bayesian VARMAs (RePEc:rim:rimwps:40_14)
by Joshua C.C. Chan & Eric Eisenstat & Gary Koop - The Zero Lower Bound: Implications for Modelling the Interest Rate (RePEc:rim:rimwps:42_14)
by Joshua C.C. Chan & Rodney Strachan - Time Varying Dimension Models (RePEc:rim:rimwps:44_10)
by Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan - Stochastic Model Specification Search for Time-Varying Parameter VARs (RePEc:rim:rimwps:44_14)
by Eric Eisenstat & Joshua C.C. Chan & Rodney Strachan - Rare-event probability estimation with conditional Monte Carlo (RePEc:spr:annopr:v:189:y:2011:i:1:p:43-61:10.1007/s10479-009-0539-y)
by Joshua Chan & Dirk Kroese - Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables (RePEc:str:wpaper:1111)
by Gary Koop & Joshua Chan - Time Varying Dimension Models (RePEc:str:wpaper:1116)
by Joshua Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan - A New Model of Trend Inflation (RePEc:str:wpaper:1202)
by Joshua Chan & Gary Koop & Simon Potter - Large Bayesian VARMAs (RePEc:str:wpaper:1409)
by Joshua C C Chan & Eric Eisenstat & Gary Koop - Marginal Likelihood Estimation with the Cross-Entropy Method (RePEc:taf:emetrv:v:34:y:2015:i:3:p:256-285)
by Joshua C. C. Chan & Eric Eisenstat - Stochastic Model Specification Search for Time-Varying Parameter VARs (RePEc:taf:emetrv:v:35:y:2016:i:8-10:p:1638-1665)
by Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan - Specification tests for time-varying parameter models with stochastic volatility (RePEc:taf:emetrv:v:37:y:2018:i:8:p:807-823)
by Joshua C. C. Chan - Invariant Inference and Efficient Computation in the Static Factor Model (RePEc:taf:jnlasa:v:113:y:2018:i:522:p:819-828)
by Joshua Chan & Roberto Leon-Gonzalez & Rodney W. Strachan - Time Varying Dimension Models (RePEc:taf:jnlbes:v:30:y:2012:i:3:p:358-367)
by Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan - A New Model of Trend Inflation (RePEc:taf:jnlbes:v:31:y:2013:i:1:p:94-106)
by Joshua C. C. Chan & Gary Koop & Simon M. Potter - The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling (RePEc:taf:jnlbes:v:35:y:2017:i:1:p:17-28)
by Joshua C. C. Chan - Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure (RePEc:taf:jnlbes:v:38:y:2020:i:1:p:68-79)
by Joshua C. C. Chan - Large Hybrid Time-Varying Parameter VARs (RePEc:taf:jnlbes:v:41:y:2023:i:3:p:890-905)
by Joshua C. C. Chan - Identifying Noise Shocks (RePEc:uts:ecowps:41)
by Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop - Reducing Dimensions in a Large TVP-VAR (RePEc:uts:ecowps:43)
by Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan - Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility (RePEc:uts:ecowps:44)
by Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop - Replication of the results in ‘learning about heterogeneity in returns to schooling’ (RePEc:wly:japmet:v:20:y:2005:i:3:p:439-443)
by Joshua C. C. Chan - Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments (RePEc:wly:japmet:v:30:y:2015:i:4:p:650-674)
by Joshua C. C. Chan & Justin L. Tobias - A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve (RePEc:wly:japmet:v:31:y:2016:i:3:p:551-565)
by Joshua C. C. Chan & Gary Koop & Simon M. Potter - Efficient estimation of Bayesian VARMAs with time†varying coefficients (RePEc:wly:japmet:v:32:y:2017:i:7:p:1277-1297)
by Joshua C.C. Chan & Eric Eisenstat - Bayesian model comparison for time‐varying parameter VARs with stochastic volatility (RePEc:wly:japmet:v:33:y:2018:i:4:p:509-532)
by Joshua C. C. Chan & Eric Eisenstat - Composite likelihood methods for large Bayesian VARs with stochastic volatility (RePEc:wly:japmet:v:35:y:2020:i:6:p:692-711)
by Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop - An automated prior robustness analysis in Bayesian model comparison (RePEc:wly:japmet:v:37:y:2022:i:3:p:583-602)
by Joshua C. C. Chan & Liana Jacobi & Dan Zhu - Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation (RePEc:wly:jforec:v:39:y:2020:i:6:p:934-943)
by Joshua C. C. Chan & Liana Jacobi & Dan Zhu - A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output (RePEc:wly:jmoncb:v:49:y:2017:i:2-3:p:525-552)
by Angelia L. Grant & Joshua C.C. Chan - A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations (RePEc:wly:jmoncb:v:50:y:2018:i:1:p:5-53)
by Joshua C.C. Chan & Todd E. Clark & Gary Koop - Measuring Inflation Expectations Uncertainty Using High‐Frequency Data (RePEc:wly:jmoncb:v:50:y:2018:i:6:p:1139-1166)
by Joshua C.C. Chan & Yong Song - Asymmetric conjugate priors for large Bayesian VARs (RePEc:wly:quante:v:13:y:2022:i:3:p:1145-1169)
by Joshua C. C. Chan