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Details about Joshua C.C. Chan

Homepage:http://joshuachan.org
Workplace:Department of Economics, Krannert School of Management, Purdue University, (more information at EDIRC)
Economics Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)
Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy, Australian National University, (more information at EDIRC)

Access statistics for papers by Joshua C.C. Chan.

Last updated 2020-08-04. Update your information in the RePEc Author Service.

Short-id: pch840


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Working Papers

2019

  1. An automated prior robustness analysis in Bayesian model comparison
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
  2. Asymmetric conjugate priors for large Bayesian VARs
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
  3. Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
    See also Journal Article in Journal of Forecasting (2020)
  4. Large Bayesian vector autoregressions
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
  5. Large hybrid time-varying parameter VARs
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
  6. Minnesota-type adaptive hierarchical priors for large Bayesian VARs
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2018

  1. Comparing hybrid time-varying parameter VARs
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
    See also Journal Article in Economics Letters (2018)
  2. Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (5)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) Downloads View citations (8)
  3. How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
  4. Identifying Noise Shocks
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2020)
  5. Multivariate Stochastic Volatility with Co-Heteroscedasticity
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    Also in GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2018) Downloads View citations (1)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) Downloads
  6. Reducing Dimensions in a Large TVP-VAR
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) Downloads View citations (2)
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney (2018) Downloads View citations (2)
  7. Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)

2017

  1. Measuring inflation expectations uncertainty using high-frequency data
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    See also Journal Article in Journal of Money, Credit and Banking (2018)
  2. Measuring the output gap using stochastic model specification search
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)

2016

  1. Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2017)

2015

  1. A Bayesian model comparison for trend-cycle decompositions of output
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
    See also Journal Article in Journal of Money, Credit and Banking (2017)
  2. A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (15)
  3. Bayesian model comparison for time-varying parameter VARs with stochastic volatility
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (13)
    See also Journal Article in Journal of Applied Econometrics (2018)
  4. Efficient estimation of Bayesian VARMAs with time-varying coefficients
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (5)
  5. Large Bayesian VARMAs
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads View citations (8)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) Downloads View citations (5)
    Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads View citations (16)

    See also Journal Article in Journal of Econometrics (2016)
  6. Large Bayesian VARs: A flexible Kronecker error covariance structure
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (25)
    See also Journal Article in Journal of Business & Economic Statistics (2020)
  7. Modeling energy price dynamics: GARCH versus stochastic volatility
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
    See also Journal Article in Energy Economics (2016)
  8. Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (13)
    See also Journal Article in Economics Letters (2015)
  9. Specification tests for time-varying parameter models with stochastic volatility
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
    See also Journal Article in Econometric Reviews (2018)
  10. The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (24)
    See also Journal Article in Journal of Business & Economic Statistics (2017)

2014

  1. A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2012) Downloads View citations (6)

    See also Journal Article in Journal of Applied Econometrics (2016)
  2. Fast Computation of the Deviance Information Criterion for Latent Variable Models
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (13)
    See also Journal Article in Computational Statistics & Data Analysis (2016)
  3. Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (11)
  4. Stochastic Model Specification Search for Time-Varying Parameter VARs
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (6)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) Downloads View citations (26)

    See also Journal Article in Econometric Reviews (2016)
  5. The Zero Lower Bound: Implications for Modelling the Interest Rate
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (8)

2013

  1. A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
  2. Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (28)
  3. Gibbs Samplers for VARMA and Its Extensions
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads View citations (1)
  4. Invariant Inference and Efficient Computation in the Static Factor Model
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (6)
    See also Journal Article in Journal of the American Statistical Association (2018)
  5. Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2014)
  6. Moving Average Stochastic Volatility Models with Application to Inflation Forecast
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (51)
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2012) Downloads View citations (8)

    See also Journal Article in Journal of Econometrics (2013)

2012

  1. A New Model Of Trend Inflation
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads View citations (1)
    Working Papers, University of Strathclyde Business School, Department of Economics (2012) Downloads View citations (3)
    MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (12)

    See also Journal Article in Journal of Business & Economic Statistics (2013)
  2. Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (12)
  3. Marginal Likelihood Estimation with the Cross-Entropy Method
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads

    See also Journal Article in Econometric Reviews (2015)
  4. Monte Carlo Methods for Portfolio Credit Risk
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads View citations (1)
  5. Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2015)

2011

  1. Time Varying Dimension Models
    Working Papers, University of Strathclyde Business School, Department of Economics Downloads View citations (2)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011) Downloads
    Working Paper series, Rimini Centre for Economic Analysis (2010) Downloads View citations (4)
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010) Downloads View citations (5)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (3)

    See also Journal Article in Journal of Business & Economic Statistics (2012)

Journal Articles

2020

  1. Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation
    Journal of Forecasting, 2020, 39, (6), 934-943 Downloads
    See also Working Paper (2019)
  2. Identifying noise shocks
    Journal of Economic Dynamics and Control, 2020, 111, (C) Downloads
    See also Working Paper (2018)
  3. Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
    Journal of Business & Economic Statistics, 2020, 38, (1), 68-79 Downloads View citations (1)
    See also Working Paper (2015)
  4. Reducing the state space dimension in a large TVP-VAR
    Journal of Econometrics, 2020, 218, (1), 105-118 Downloads

2019

  1. A regime switching skew-normal model of contagion
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (1), 24 Downloads View citations (1)

2018

  1. A New Model of Inflation, Trend Inflation, and Long†Run Inflation Expectations
    Journal of Money, Credit and Banking, 2018, 50, (1), 5-53 Downloads View citations (11)
  2. Bayesian model comparison for time‐varying parameter VARs with stochastic volatility
    Journal of Applied Econometrics, 2018, 33, (4), 509-532 Downloads View citations (28)
    See also Working Paper (2015)
  3. Comparing hybrid time-varying parameter VARs
    Economics Letters, 2018, 171, (C), 1-5 Downloads View citations (1)
    See also Working Paper (2018)
  4. Invariant Inference and Efficient Computation in the Static Factor Model
    Journal of the American Statistical Association, 2018, 113, (522), 819-828 Downloads View citations (4)
    See also Working Paper (2013)
  5. Measuring Inflation Expectations Uncertainty Using High‐Frequency Data
    Journal of Money, Credit and Banking, 2018, 50, (6), 1139-1166 Downloads View citations (1)
    See also Working Paper (2017)
  6. Specification tests for time-varying parameter models with stochastic volatility
    Econometric Reviews, 2018, 37, (8), 807-823 Downloads View citations (7)
    See also Working Paper (2015)

2017

  1. A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output
    Journal of Money, Credit and Banking, 2017, 49, (2-3), 525-552 Downloads View citations (10)
    See also Working Paper (2015)
  2. Efficient estimation of Bayesian VARMAs with time†varying coefficients
    Journal of Applied Econometrics, 2017, 32, (7), 1277-1297 Downloads View citations (2)
  3. Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter
    Journal of Economic Dynamics and Control, 2017, 75, (C), 114-121 Downloads View citations (7)
    See also Working Paper (2016)
  4. The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
    Journal of Business & Economic Statistics, 2017, 35, (1), 17-28 Downloads View citations (32)
    See also Working Paper (2015)

2016

  1. A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve
    Journal of Applied Econometrics, 2016, 31, (3), 551-565 Downloads View citations (18)
    See also Working Paper (2014)
  2. Fast computation of the deviance information criterion for latent variable models
    Computational Statistics & Data Analysis, 2016, 100, (C), 847-859 Downloads View citations (12)
    See also Working Paper (2014)
  3. Large Bayesian VARMAs
    Journal of Econometrics, 2016, 192, (2), 374-390 Downloads View citations (7)
    See also Working Paper (2015)
  4. Modeling energy price dynamics: GARCH versus stochastic volatility
    Energy Economics, 2016, 54, (C), 182-189 Downloads View citations (35)
    See also Working Paper (2015)
  5. On the Observed-Data Deviance Information Criterion for Volatility Modeling
    Journal of Financial Econometrics, 2016, 14, (4), 772-802 Downloads View citations (23)
  6. Stochastic Model Specification Search for Time-Varying Parameter VARs
    Econometric Reviews, 2016, 35, (8-10), 1638-1665 Downloads View citations (21)
    See also Working Paper (2014)

2015

  1. Marginal Likelihood Estimation with the Cross-Entropy Method
    Econometric Reviews, 2015, 34, (3), 256-285 Downloads View citations (23)
    See also Working Paper (2012)
  2. Pitfalls of estimating the marginal likelihood using the modified harmonic mean
    Economics Letters, 2015, 131, (C), 29-33 Downloads View citations (12)
    See also Working Paper (2015)
  3. Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments
    Journal of Applied Econometrics, 2015, 30, (4), 650-674 Downloads
    See also Working Paper (2012)

2014

  1. Modelling breaks and clusters in the steady states of macroeconomic variables
    Computational Statistics & Data Analysis, 2014, 76, (C), 186-193 Downloads View citations (8)
    See also Working Paper (2013)

2013

  1. A New Model of Trend Inflation
    Journal of Business & Economic Statistics, 2013, 31, (1), 94-106 Downloads View citations (37)
    See also Working Paper (2012)
  2. Moving average stochastic volatility models with application to inflation forecast
    Journal of Econometrics, 2013, 176, (2), 162-172 Downloads View citations (52)
    See also Working Paper (2013)

2012

  1. Time Varying Dimension Models
    Journal of Business & Economic Statistics, 2012, 30, (3), 358-367 Downloads View citations (42)
    See also Working Paper (2011)

2011

  1. Rare-event probability estimation with conditional Monte Carlo
    Annals of Operations Research, 2011, 189, (1), 43-61 Downloads View citations (4)

2010

  1. Efficient estimation of large portfolio loss probabilities in t-copula models
    European Journal of Operational Research, 2010, 205, (2), 361-367 Downloads View citations (26)

2005

  1. Replication of the results in 'learning about heterogeneity in returns to schooling'
    Journal of Applied Econometrics, 2005, 20, (3), 439-443 Downloads

Books

2019

  1. Bayesian Econometric Methods
    Cambridge Books, Cambridge University Press
 
Page updated 2020-08-08