Joshua C.C. Chan
Personal Details
First Name: | Joshua |
Middle Name: | C.C. |
Last Name: | Chan |
Suffix: | |
RePEc Short-ID: | pch840 |
[This author has chosen not to make the email address public] | |
http://joshuachan.org | |
Terminal Degree: | 2010 (from RePEc Genealogy) |
Affiliation
Department of Economics
Mitchell E. Daniels, Jr. School of Business
Purdue University
West Lafayette, Indiana (United States)http://www.krannert.purdue.edu/academics/economics/
RePEc:edi:depurus (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- Joshua C. C. Chan & Yaling Qi, 2024. "Large Bayesian Tensor VARs with Stochastic Volatility," Papers 2409.16132, arXiv.org.
- Joshua C. C. Chan & Davide Pettenuzzo & Aubrey Poon & Dan Zhu, 2024. "Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints," Papers 2407.02262, arXiv.org.
- Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023.
"High-Dimensional Conditionally Gaussian State Space Models with Missing Data,"
Papers
2302.03172, arXiv.org.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023. "High-dimensional conditionally Gaussian state space models with missing data," Journal of Econometrics, Elsevier, vol. 236(1).
- Joshua C. C. Chan, 2022.
"Comparing Stochastic Volatility Specifications for Large Bayesian VARs,"
Papers
2208.13255, arXiv.org.
- Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- Joshua C. C. Chan & Xuewen Yu, 2022.
"Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility,"
Papers
2206.08438, arXiv.org.
- Chan, Joshua C.C. & Yu, Xuewen, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Joshua C.C. Chan & Xuewen Yu, 2020. "Fast and accurate variational inference for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2020-108, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2022.
"Large Hybrid Time-Varying Parameter VARs,"
Papers
2201.07303, arXiv.org, revised Jun 2022.
- Joshua C. C. Chan, 2023. "Large Hybrid Time-Varying Parameter VARs," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 890-905, July.
- Joshua C.C. Chan, 2019. "Large hybrid time-varying parameter VARs," CAMA Working Papers 2019-77, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua Chan & Eric Eisenstat & Xuewen Yu, 2022. "Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis," Papers 2207.03988, arXiv.org.
- Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2021.
"Large Order-Invariant Bayesian VARs with Stochastic Volatility,"
Papers
2111.07225, arXiv.org.
- Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2024. "Large Order-Invariant Bayesian VARs with Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 825-837, April.
- Abhishek K. Umrawal & Joshua C. C. Chan, 2021. "On Parameter Estimation in Unobserved Components Models subject to Linear Inequality Constraints," Papers 2110.12149, arXiv.org, revised Feb 2023.
- Joshua C. C. Chan, 2021.
"Asymmetric Conjugate Priors for Large Bayesian VARs,"
Papers
2111.07170, arXiv.org.
- Joshua C. C. Chan, 2022. "Asymmetric conjugate priors for large Bayesian VARs," Quantitative Economics, Econometric Society, vol. 13(3), pages 1145-1169, July.
- Joshua C. C. Chan, 2019. "Asymmetric conjugate priors for large Bayesian VARs," CAMA Working Papers 2019-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2021. "Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach," Papers 2112.11315, arXiv.org.
- Joshua C.C. Chan & Rodney W. Strachan, 2020.
"Bayesian state space models in macroeconometrics,"
CAMA Working Papers
2020-90, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
- Joshua C.C. Chan & Edouard Wemy, 2020.
"An unobserved components model of total factor productivity and the relative price of investment,"
CAMA Working Papers
2020-109, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Wemy, Edouard, 2023. "An unobserved components model of total factor productivity and the relative price of investment," Macroeconomic Dynamics, Cambridge University Press, vol. 27(5), pages 1397-1423, July.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019.
"An automated prior robustness analysis in Bayesian model comparison,"
CAMA Working Papers
2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022. "An automated prior robustness analysis in Bayesian model comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
- Joshua C. C. Chan, 2019.
"Minnesota-type adaptive hierarchical priors for large Bayesian VARs,"
CAMA Working Papers
2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C., 2021. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
- Joshua C. C. Chan, 2019. "Large Bayesian vector autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019.
"Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation,"
CAMA Working Papers
2019-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
- Joshua Chan & Arnaud Doucet & Roberto León-González & Rodney W. Strachan, 2018.
"Multivariate stochastic volatility with co-heteroscedasticity,"
CAMA Working Papers
2018-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 18-12, National Graduate Institute for Policy Studies.
- Joshua Chan & Arnaud Doucet & Roberto León-González & Rodney W. Strachan, 2018. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," Working Paper series 18-38, Rimini Centre for Economic Analysis.
- CHAN Joshua & DOUCET Arnaud & Roberto Leon-Gonzalez & STRACHAN Rodney W., 2020. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 20-09, National Graduate Institute for Policy Studies.
- Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018.
"Identifying Noise Shocks,"
Working Paper Series
41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Benati, Luca & Chan, Joshua & Eisenstat, Eric & Koop, Gary, 2020. "Identifying noise shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
CAMA Working Papers
2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," Working Paper Series 44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Bo Zhang & Joshua C.C. Chan & Jamie L. Cross, 2018.
"Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts,"
CAMA Working Papers
2018-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Zhang, Bo & Chan, Joshua C.C. & Cross, Jamie L., 2020. "Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1318-1328.
- Joshua C.C. Chan & Liana Jacobi & Dan Zhu, 2018.
"How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis,"
CAMA Working Papers
2018-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 229-248, Emerald Group Publishing Limited.
- Joshua C.C. Chan & Eric Eisenstat & Rodney W. Strachan, 2018.
"Reducing dimensions in a large TVP-VAR,"
CAMA Working Papers
2018-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper series 18-37, Rimini Centre for Economic Analysis.
- Joshua C.C. Chan & Eric Eisenstat, 2018.
"Comparing hybrid time-varying parameter VARs,"
CAMA Working Papers
2018-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Eisenstat, Eric, 2018. "Comparing hybrid time-varying parameter VARs," Economics Letters, Elsevier, vol. 171(C), pages 1-5.
- Joshua C C Chan & Yong Song, 2017.
"Measuring inflation expectations uncertainty using high-frequency data,"
CAMA Working Papers
2017-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Yong Song, 2018. "Measuring Inflation Expectations Uncertainty Using High‐Frequency Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1139-1166, September.
- Joshua C C Chan & Angelia L Grant, 2017. "Measuring the output gap using stochastic model specification search," CAMA Working Papers 2017-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Angelia L. Grant, 2016.
"Reconciling output gaps: unobserved components model and Hodrick-Prescott filter,"
CAMA Working Papers
2016-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Grant, Angelia L. & Chan, Joshua C.C., 2017. "Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 114-121.
- Joshua C.C. Chan & Angelia L. Grant, 2015.
"A Bayesian model comparison for trend-cycle decompositions of output,"
CAMA Working Papers
2015-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Angelia L. Grant & Joshua C.C. Chan, 2017. "A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 525-552, March.
- Joshua C.C. Chan & Eric Eisenstat, 2015.
"Bayesian model comparison for time-varying parameter VARs with stochastic volatility,"
CAMA Working Papers
2015-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat, 2018. "Bayesian model comparison for time‐varying parameter VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
- Joshua C.C. Chan, 2015.
"Specification tests for time-varying parameter models with stochastic volatility,"
CAMA Working Papers
2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2018. "Specification tests for time-varying parameter models with stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 807-823, September.
- Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Angelia L. Grant, 2015.
"Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean,"
CAMA Working Papers
2015-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Grant, Angelia L., 2015. "Pitfalls of estimating the marginal likelihood using the modified harmonic mean," Economics Letters, Elsevier, vol. 131(C), pages 29-33.
- Joshua C.C. Chan & Angelia L. Grant, 2015.
"Modeling energy price dynamics: GARCH versus stochastic volatility,"
CAMA Working Papers
2015-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Grant, Angelia L., 2016. "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, vol. 54(C), pages 182-189.
- Joshua C.C. Chan, 2015.
"Large Bayesian VARs: A flexible Kronecker error covariance structure,"
CAMA Working Papers
2015-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2020. "Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 68-79, January.
- Joshua C. C. Chan & Todd E. Clark & Gary Koop, 2015.
"A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations,"
Working Papers (Old Series)
1520, Federal Reserve Bank of Cleveland.
- Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
- Joshua C.C. Chan, 2015.
"The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling,"
CAMA Working Papers
2015-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
- Joshua C.C. Chan & Angelia L. Grant, 2014. "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers 2014-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014.
"Large Bayesian VARMAs,"
SIRE Discussion Papers
2015-06, Scottish Institute for Research in Economics (SIRE).
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016. "Large Bayesian VARMAs," Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper series 40_14, Rimini Centre for Economic Analysis.
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
- Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
- Joshua C.C. Chan & Angelia L. Grant, 2014.
"Fast Computation of the Deviance Information Criterion for Latent Variable Models,"
CAMA Working Papers
2014-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Grant, Angelia L., 2016. "Fast computation of the deviance information criterion for latent variable models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 847-859.
- Joshua C.C. Chan & Rodney Strachan, 2014. "The Zero Lower Bound: Implications for Modelling the Interest Rate," Working Paper series 42_14, Rimini Centre for Economic Analysis.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014.
"Stochastic Model Specification Search for Time-Varying Parameter VARs,"
CAMA Working Papers
2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan, 2016. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1638-1665, December.
- Eric Eisenstat & Joshua C.C. Chan & Rodney Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Working Paper series 44_14, Rimini Centre for Economic Analysis.
- Joshua C.C. Chan & Eric Eisenstat, 2013. "Gibbs Samplers for VARMA and Its Extensions," ANU Working Papers in Economics and Econometrics 2013-604, Australian National University, College of Business and Economics, School of Economics.
- Joshua C.C. Chan & Roberto Leon-Gonzalez & Rodney W. Strachan, 2013.
"Invariant Inference and Efficient Computation in the Static Factor Model,"
CAMA Working Papers
2013-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua Chan & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Invariant Inference and Efficient Computation in the Static Factor Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 819-828, April.
- Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Gary Koop, 2013.
"Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables,"
ANU Working Papers in Economics and Econometrics
2013-603, Australian National University, College of Business and Economics, School of Economics.
- Chan, Joshua C.C. & Koop, Gary, 2014. "Modelling breaks and clusters in the steady states of macroeconomic variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 186-193.
- Gary Koop & Joshua Chan, 2011. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," Working Papers 1111, University of Strathclyde Business School, Department of Economics.
- Joshua C C Chan & Gary Koop, 2012. "Modelling breaks and clusters in the steady states of macroeconomic variables," CAMA Working Papers 2012-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Koop, Gary, 2011. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," SIRE Discussion Papers 2011-22, Scottish Institute for Research in Economics (SIRE).
- Joshua C C Chan & Cody Y L Hsiao, 2013. "Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence," CAMA Working Papers 2013-74, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C C Chan, 2012.
"Moving Average Stochastic Volatility Models with Application to Inflation Forecast,"
ANU Working Papers in Economics and Econometrics
2012-591, Australian National University, College of Business and Economics, School of Economics.
- Chan, Joshua C.C., 2013. "Moving average stochastic volatility models with application to inflation forecast," Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.
- Joshua C.C. Chan, 2013. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," CAMA Working Papers 2013-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua & Koop, Gary & Potter, Simon, 2012.
"A New Model Of Trend Inflation,"
SIRE Discussion Papers
2012-12, Scottish Institute for Research in Economics (SIRE).
- Joshua C. C. Chan & Gary Koop & Simon M. Potter, 2013. "A New Model of Trend Inflation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 94-106, January.
- Joshua Chan & Gary Koop & Simon Potter, 2012. "A New Model of Trend Inflation," Working Papers 1202, University of Strathclyde Business School, Department of Economics.
- Chan, Joshua & Koop, Gary & Potter, Simon, 2012. "A new model of trend inflation," MPRA Paper 39496, University Library of Munich, Germany.
- Joshua C C Chan & Gary Koop & Simon M Potter, 2012. "A New Model of Trend Inflation," CAMA Working Papers 2012-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan, 2012. "Monte Carlo Methods for Portfolio Credit Risk," ANU Working Papers in Economics and Econometrics 2012-579, Australian National University, College of Business and Economics, School of Economics.
- Joshua Chan & Rodney Strachan, 2012.
"Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods,"
CAMA Working Papers
2012-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua & Strachan, Rodney, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper 39360, University Library of Munich, Germany.
- Joshua C C Chan & Eric Eisenstat, 2012.
"Marginal Likelihood Estimation with the Cross-Entropy Method,"
CAMA Working Papers
2012-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat, 2015. "Marginal Likelihood Estimation with the Cross-Entropy Method," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 256-285, March.
- Chan, Joshua & Eisenstat, Eric, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," MPRA Paper 40051, University Library of Munich, Germany.
- Joshua C.C. Chan & Justin L. Tobias, 2012.
"Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments,"
ANU Working Papers in Economics and Econometrics
2012-580, Australian National University, College of Business and Economics, School of Economics.
- Joshua C. C. Chan & Justin L. Tobias, 2015. "Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 650-674, June.
- Joshua C C Chan & Gary Koop & Simon M Potter, 2012.
"A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve,"
ANU Working Papers in Economics and Econometrics
2012-590, Australian National University, College of Business and Economics, School of Economics.
- Joshua C. C. Chan & Gary Koop & Simon M. Potter, 2016. "A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 551-565, April.
- Joshua C.C. Chan & Gary Koop & Simon M. Potter, 2014. "A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve," CAMA Working Papers 2014-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010.
"Time Varying Dimension Models,"
ANU Working Papers in Economics and Econometrics
2010-523, Australian National University, College of Business and Economics, School of Economics.
- Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2012. "Time Varying Dimension Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 358-367, January.
- Joshua C C Chan & Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011. "Time Varying Dimension Models," CAMA Working Papers 2011-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Time Varying Dimension Models," Working Papers 1116, University of Strathclyde Business School, Department of Economics.
- Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2010. "Time Varying Dimension Models," Working Paper series 44_10, Rimini Centre for Economic Analysis.
- Chan, Joshua C C & Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W, 2010. "Time Varying Dimension Models," SIRE Discussion Papers 2012-33, Scottish Institute for Research in Economics (SIRE).
Articles
- Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2024.
"Large Order-Invariant Bayesian VARs with Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 825-837, April.
- Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2021. "Large Order-Invariant Bayesian VARs with Stochastic Volatility," Papers 2111.07225, arXiv.org.
- Chan, Joshua C.C. & Wemy, Edouard, 2023.
"An unobserved components model of total factor productivity and the relative price of investment,"
Macroeconomic Dynamics, Cambridge University Press, vol. 27(5), pages 1397-1423, July.
- Joshua C.C. Chan & Edouard Wemy, 2020. "An unobserved components model of total factor productivity and the relative price of investment," CAMA Working Papers 2020-109, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C., 2023.
"Comparing stochastic volatility specifications for large Bayesian VARs,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
- Joshua C. C. Chan, 2022. "Comparing Stochastic Volatility Specifications for Large Bayesian VARs," Papers 2208.13255, arXiv.org.
- Joshua C.C. Chan & Rodney W. Strachan, 2023.
"Bayesian State Space Models In Macroeconometrics,"
Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
- Joshua C.C. Chan & Rodney W. Strachan, 2020. "Bayesian state space models in macroeconometrics," CAMA Working Papers 2020-90, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2023.
"Large Hybrid Time-Varying Parameter VARs,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 890-905, July.
- Joshua C. C. Chan, 2022. "Large Hybrid Time-Varying Parameter VARs," Papers 2201.07303, arXiv.org, revised Jun 2022.
- Joshua C.C. Chan, 2019. "Large hybrid time-varying parameter VARs," CAMA Working Papers 2019-77, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023.
"High-dimensional conditionally Gaussian state space models with missing data,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
- Chan, Joshua C.C. & Yu, Xuewen, 2022.
"Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility,"
Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Joshua C.C. Chan & Xuewen Yu, 2020. "Fast and accurate variational inference for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2020-108, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Xuewen Yu, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers 2206.08438, arXiv.org.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022.
"An automated prior robustness analysis in Bayesian model comparison,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "An automated prior robustness analysis in Bayesian model comparison," CAMA Working Papers 2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan Joshua C. C. & Eisenstat Eric & Koop Gary, 2022. "Choosing between identification schemes in noisy-news models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(1), pages 99-136, February.
- Joshua C. C. Chan, 2022.
"Asymmetric conjugate priors for large Bayesian VARs,"
Quantitative Economics, Econometric Society, vol. 13(3), pages 1145-1169, July.
- Joshua C. C. Chan, 2019. "Asymmetric conjugate priors for large Bayesian VARs," CAMA Working Papers 2019-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2021. "Asymmetric Conjugate Priors for Large Bayesian VARs," Papers 2111.07170, arXiv.org.
- Chan, Joshua C.C. & Santi, Caterina, 2021. "Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Chan, Joshua C.C., 2021.
"Minnesota-type adaptive hierarchical priors for large Bayesian VARs,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
- Joshua C. C. Chan, 2019. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," CAMA Working Papers 2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Benati, Luca & Chan, Joshua & Eisenstat, Eric & Koop, Gary, 2020.
"Identifying noise shocks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018. "Identifying Noise Shocks," Working Paper Series 41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020.
"Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," CAMA Working Papers 2019-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," Working Paper Series 44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2020.
"Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 68-79, January.
- Joshua C.C. Chan, 2015. "Large Bayesian VARs: A flexible Kronecker error covariance structure," CAMA Working Papers 2015-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
- Zhang, Bo & Chan, Joshua C.C. & Cross, Jamie L., 2020.
"Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts,"
International Journal of Forecasting, Elsevier, vol. 36(4), pages 1318-1328.
- Bo Zhang & Joshua C.C. Chan & Jamie L. Cross, 2018. "Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts," CAMA Working Papers 2018-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
- Joshua Chan & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018.
"Invariant Inference and Efficient Computation in the Static Factor Model,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 819-828, April.
- Joshua C.C. Chan & Roberto Leon-Gonzalez & Rodney W. Strachan, 2013. "Invariant Inference and Efficient Computation in the Static Factor Model," CAMA Working Papers 2013-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2018.
"Specification tests for time-varying parameter models with stochastic volatility,"
Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 807-823, September.
- Joshua C.C. Chan, 2015. "Specification tests for time-varying parameter models with stochastic volatility," CAMA Working Papers 2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Eisenstat, Eric, 2018.
"Comparing hybrid time-varying parameter VARs,"
Economics Letters, Elsevier, vol. 171(C), pages 1-5.
- Joshua C.C. Chan & Eric Eisenstat, 2018. "Comparing hybrid time-varying parameter VARs," CAMA Working Papers 2018-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat, 2018.
"Bayesian model comparison for time‐varying parameter VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
- Joshua C.C. Chan & Eric Eisenstat, 2015. "Bayesian model comparison for time-varying parameter VARs with stochastic volatility," CAMA Working Papers 2015-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018.
"A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
- Joshua C. C. Chan & Todd E. Clark & Gary Koop, 2015. "A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations," Working Papers (Old Series) 1520, Federal Reserve Bank of Cleveland.
- Joshua C.C. Chan & Yong Song, 2018.
"Measuring Inflation Expectations Uncertainty Using High‐Frequency Data,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1139-1166, September.
- Joshua C C Chan & Yong Song, 2017. "Measuring inflation expectations uncertainty using high-frequency data," CAMA Working Papers 2017-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Eric Eisenstat, 2017. "Efficient estimation of Bayesian VARMAs with time†varying coefficients," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(7), pages 1277-1297, November.
- Grant, Angelia L. & Chan, Joshua C.C., 2017.
"Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter,"
Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 114-121.
- Joshua C.C. Chan & Angelia L. Grant, 2016. "Reconciling output gaps: unobserved components model and Hodrick-Prescott filter," CAMA Working Papers 2016-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan, 2017.
"The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
- Joshua C.C. Chan, 2015. "The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling," CAMA Working Papers 2015-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Angelia L. Grant & Joshua C.C. Chan, 2017.
"A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 525-552, March.
- Joshua C.C. Chan & Angelia L. Grant, 2015. "A Bayesian model comparison for trend-cycle decompositions of output," CAMA Working Papers 2015-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Grant, Angelia L., 2016.
"Fast computation of the deviance information criterion for latent variable models,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 847-859.
- Joshua C.C. Chan & Angelia L. Grant, 2014. "Fast Computation of the Deviance Information Criterion for Latent Variable Models," CAMA Working Papers 2014-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Grant, Angelia L., 2016.
"Modeling energy price dynamics: GARCH versus stochastic volatility,"
Energy Economics, Elsevier, vol. 54(C), pages 182-189.
- Joshua C.C. Chan & Angelia L. Grant, 2015. "Modeling energy price dynamics: GARCH versus stochastic volatility," CAMA Working Papers 2015-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016.
"Large Bayesian VARMAs,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper series 40_14, Rimini Centre for Economic Analysis.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," SIRE Discussion Papers 2015-06, Scottish Institute for Research in Economics (SIRE).
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
- Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
- Joshua C. C. Chan & Gary Koop & Simon M. Potter, 2016.
"A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 551-565, April.
- Joshua C.C. Chan & Gary Koop & Simon M. Potter, 2014. "A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve," CAMA Working Papers 2014-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C C Chan & Gary Koop & Simon M Potter, 2012. "A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve," ANU Working Papers in Economics and Econometrics 2012-590, Australian National University, College of Business and Economics, School of Economics.
- Joshua C. C. Chan & Angelia L. Grant, 2016. "On the Observed-Data Deviance Information Criterion for Volatility Modeling," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 772-802.
- Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan, 2016.
"Stochastic Model Specification Search for Time-Varying Parameter VARs,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1638-1665, December.
- Eric Eisenstat & Joshua C.C. Chan & Rodney Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Working Paper series 44_14, Rimini Centre for Economic Analysis.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Grant, Angelia L., 2015.
"Pitfalls of estimating the marginal likelihood using the modified harmonic mean,"
Economics Letters, Elsevier, vol. 131(C), pages 29-33.
- Joshua C.C. Chan & Angelia L. Grant, 2015. "Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean," CAMA Working Papers 2015-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Justin L. Tobias, 2015.
"Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 650-674, June.
- Joshua C.C. Chan & Justin L. Tobias, 2012. "Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments," ANU Working Papers in Economics and Econometrics 2012-580, Australian National University, College of Business and Economics, School of Economics.
- Joshua C. C. Chan & Eric Eisenstat, 2015.
"Marginal Likelihood Estimation with the Cross-Entropy Method,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 256-285, March.
- Chan, Joshua & Eisenstat, Eric, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," MPRA Paper 40051, University Library of Munich, Germany.
- Joshua C C Chan & Eric Eisenstat, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," CAMA Working Papers 2012-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Koop, Gary, 2014.
"Modelling breaks and clusters in the steady states of macroeconomic variables,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 186-193.
- Joshua C.C. Chan & Gary Koop, 2013. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," ANU Working Papers in Economics and Econometrics 2013-603, Australian National University, College of Business and Economics, School of Economics.
- Gary Koop & Joshua Chan, 2011. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," Working Papers 1111, University of Strathclyde Business School, Department of Economics.
- Joshua C C Chan & Gary Koop, 2012. "Modelling breaks and clusters in the steady states of macroeconomic variables," CAMA Working Papers 2012-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C. & Koop, Gary, 2011. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," SIRE Discussion Papers 2011-22, Scottish Institute for Research in Economics (SIRE).
- Joshua C. C. Chan & Gary Koop & Simon M. Potter, 2013.
"A New Model of Trend Inflation,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 94-106, January.
- Joshua Chan & Gary Koop & Simon Potter, 2012. "A New Model of Trend Inflation," Working Papers 1202, University of Strathclyde Business School, Department of Economics.
- Chan, Joshua & Koop, Gary & Potter, Simon, 2012. "A New Model Of Trend Inflation," SIRE Discussion Papers 2012-12, Scottish Institute for Research in Economics (SIRE).
- Chan, Joshua & Koop, Gary & Potter, Simon, 2012. "A new model of trend inflation," MPRA Paper 39496, University Library of Munich, Germany.
- Joshua C C Chan & Gary Koop & Simon M Potter, 2012. "A New Model of Trend Inflation," CAMA Working Papers 2012-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C.C., 2013.
"Moving average stochastic volatility models with application to inflation forecast,"
Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.
- Joshua C C Chan, 2012. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," ANU Working Papers in Economics and Econometrics 2012-591, Australian National University, College of Business and Economics, School of Economics.
- Joshua C.C. Chan, 2013. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," CAMA Working Papers 2013-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2012.
"Time Varying Dimension Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 358-367, January.
- Joshua C C Chan & Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011. "Time Varying Dimension Models," CAMA Working Papers 2011-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Time Varying Dimension Models," Working Papers 1116, University of Strathclyde Business School, Department of Economics.
- Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2010. "Time Varying Dimension Models," Working Paper series 44_10, Rimini Centre for Economic Analysis.
- Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010. "Time Varying Dimension Models," ANU Working Papers in Economics and Econometrics 2010-523, Australian National University, College of Business and Economics, School of Economics.
- Chan, Joshua C C & Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W, 2010. "Time Varying Dimension Models," SIRE Discussion Papers 2012-33, Scottish Institute for Research in Economics (SIRE).
- Joshua Chan & Dirk Kroese, 2011. "Rare-event probability estimation with conditional Monte Carlo," Annals of Operations Research, Springer, vol. 189(1), pages 43-61, September.
- Chan, Joshua C.C. & Kroese, Dirk P., 2010. "Efficient estimation of large portfolio loss probabilities in t-copula models," European Journal of Operational Research, Elsevier, vol. 205(2), pages 361-367, September.
- Joshua C. C. Chan, 2005.
"Replication of the results in 'learning about heterogeneity in returns to schooling',"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 439-443.
- Joshua C. C. Chan, 2005. "Replication of the results in ‘learning about heterogeneity in returns to schooling’," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 439-443, March.
Chapters
- Joshua C. C. Chan & Chenghan Hou & Thomas Tao Yang, 2020. "Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance," Advances in Econometrics, in: Essays in Honor of Cheng Hsiao, volume 41, pages 255-285, Emerald Group Publishing Limited.
- Justin L. Tobias & Joshua C. C. Chan, 2019. "An Alternate Parameterization for Bayesian Nonparametric/Semiparametric Regression," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part B, volume 40, pages 47-64, Emerald Group Publishing Limited.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019.
"How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis,"
Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 229-248,
Emerald Group Publishing Limited.
- Joshua C.C. Chan & Liana Jacobi & Dan Zhu, 2018. "How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis," CAMA Working Papers 2018-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
RePEc:eme:aeco11:s0731-905320200000041008 is not listed on IDEAS
RePEc:eme:aeco11:s0731-90532019000040b004 is not listed on IDEAS
RePEc:eme:aeco11:s0731-90532019000040a010 is not listed on IDEAS
Books
- Chan,Joshua & Koop,Gary & Poirier,Dale J. & Tobias,Justin L., 2019.
"Bayesian Econometric Methods,"
Cambridge Books,
Cambridge University Press, number 9781108423380, October.
- Koop, Gary M & Poirier, Dale J & Tobias, Justin, 2007. "Bayesian Econometric Methods," Staff General Research Papers Archive 12722, Iowa State University, Department of Economics.
- Chan,Joshua & Koop,Gary & Poirier,Dale J. & Tobias,Justin L., 2019. "Bayesian Econometric Methods," Cambridge Books, Cambridge University Press, number 9781108437493, September.
More information
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This author is among the top 5% authors according to these criteria:- Average Rank Score
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 75 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (47) 2010-05-29 2011-06-11 2012-05-22 2012-08-23 2012-11-03 2012-11-03 2013-03-02 2013-05-24 2013-06-30 2013-12-06 2014-02-15 2014-03-15 2014-07-21 2014-10-17 2015-03-22 2015-03-22 2015-03-27 2015-06-13 2015-08-19 2015-11-15 2015-11-15 2017-01-22 2017-10-29 2018-06-11 2018-06-11 2018-07-16 2018-07-16 2018-08-27 2018-08-27 2018-10-15 2019-02-25 2019-07-08 2019-07-08 2019-07-29 2019-09-02 2019-10-21 2020-11-09 2021-01-25 2021-11-01 2021-12-20 2022-01-24 2022-08-15 2022-10-03 2023-03-06 2023-11-20 2024-08-12 2024-10-28. Author is listed
- NEP-ETS: Econometric Time Series (44) 2010-05-29 2011-06-11 2012-03-21 2012-06-05 2012-06-25 2013-03-02 2013-05-24 2013-06-30 2013-12-06 2014-03-15 2014-10-17 2015-02-28 2015-03-22 2015-03-27 2015-06-13 2015-06-13 2015-08-19 2015-08-25 2015-11-15 2015-11-15 2015-12-08 2016-07-30 2018-06-11 2018-06-11 2018-07-16 2018-07-16 2018-08-27 2018-10-15 2019-02-25 2019-07-08 2019-07-08 2019-07-29 2019-09-02 2019-10-21 2020-11-09 2021-01-25 2021-01-25 2021-11-01 2021-12-20 2022-01-24 2022-10-03 2023-03-06 2023-11-20 2024-08-12. Author is listed
- NEP-MAC: Macroeconomics (32) 2012-03-21 2012-06-05 2012-06-25 2012-06-25 2012-11-03 2014-02-15 2014-03-15 2014-10-17 2015-03-22 2015-08-19 2015-08-25 2015-11-01 2015-11-15 2016-07-30 2017-01-22 2017-10-29 2018-06-11 2018-07-16 2018-07-16 2018-08-27 2018-08-27 2018-10-15 2018-10-22 2019-07-08 2019-07-08 2019-07-29 2019-09-02 2019-10-21 2020-11-09 2021-01-25 2021-12-20 2022-01-24. Author is listed
- NEP-ORE: Operations Research (31) 2012-05-22 2012-07-23 2013-06-30 2013-12-06 2014-02-15 2014-07-21 2014-10-17 2015-03-22 2015-03-22 2015-06-13 2015-06-13 2015-08-19 2015-11-01 2015-11-15 2015-11-15 2017-01-22 2018-06-11 2018-06-11 2018-07-16 2018-08-27 2018-10-29 2019-07-08 2019-07-08 2019-07-29 2019-09-02 2019-10-21 2020-11-09 2021-01-25 2021-11-01 2021-12-20 2022-03-07. Author is listed
- NEP-FOR: Forecasting (21) 2010-05-29 2011-01-16 2011-06-11 2012-03-21 2012-06-25 2012-11-03 2013-03-02 2013-06-30 2014-02-15 2015-03-22 2015-03-27 2015-06-13 2015-11-01 2015-11-15 2018-06-11 2018-06-11 2018-07-16 2018-08-27 2019-07-08 2019-10-21 2021-12-20. Author is listed
- NEP-MON: Monetary Economics (9) 2012-03-08 2012-03-21 2012-06-25 2012-11-03 2015-03-22 2015-03-27 2015-11-01 2017-10-29 2018-10-15. Author is listed
- NEP-CBA: Central Banking (6) 2010-05-29 2012-03-21 2012-06-25 2013-06-30 2015-03-27 2015-11-01. Author is listed
- NEP-BAN: Banking (3) 2012-08-23 2013-05-24 2015-03-27
- NEP-CMP: Computational Economics (3) 2018-10-15 2018-10-29 2019-07-08
- NEP-RMG: Risk Management (3) 2012-08-23 2018-10-29 2020-09-21
- NEP-CWA: Central and Western Asia (2) 2013-03-02 2022-01-24
- NEP-DCM: Discrete Choice Models (2) 2019-07-08 2020-09-21
- NEP-SOG: Sociology of Economics (2) 2014-02-15 2014-02-15
- NEP-DEM: Demographic Economics (1) 2022-07-18
- NEP-EFF: Efficiency and Productivity (1) 2021-01-25
- NEP-ENE: Energy Economics (1) 2015-06-13
- NEP-FDG: Financial Development and Growth (1) 2015-08-25
- NEP-ICT: Information and Communication Technologies (1) 2021-01-25
- NEP-MST: Market Microstructure (1) 2017-10-29
- NEP-NET: Network Economics (1) 2021-01-25
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