Details about Joshua C.C. Chan

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

Last updated 2025-01-05. Update your information in the RePEc Author Service.

Short-id: pch840

Working Papers

2025

1. Large Structural VARs with Multiple Sign and Ranking Restrictions
   Papers, arXiv.org

2024

2. Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints
   Papers, arXiv.org
   See also Journal Article Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints, Journal of Economic Dynamics and Control, Elsevier (2025) (2025)
3. Large Bayesian Tensor VARs with Stochastic Volatility
   Papers, arXiv.org

2023

4. BVARs and Stochastic Volatility
   Papers, arXiv.org View citations (1)
   See also Chapter BVARs and stochastic volatility, Chapters, Edward Elgar Publishing (2024) (2024)
5. High-Dimensional Conditionally Gaussian State Space Models with Missing Data
   Papers, arXiv.org View citations (8)
   See also Journal Article High-dimensional conditionally Gaussian state space models with missing data, Journal of Econometrics, Elsevier (2023) View citations (6) (2023)
6. On Parameter Estimation in Unobserved Components Models subject to Linear Inequality Constraints
   Papers, arXiv.org

2022

7. Comparing Stochastic Volatility Specifications for Large Bayesian VARs
   Papers, arXiv.org View citations (3)
   See also Journal Article Comparing stochastic volatility specifications for large Bayesian VARs, Journal of Econometrics, Elsevier (2023) View citations (6) (2023)
8. Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility
   Papers, arXiv.org View citations (10)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (9)
   See also Journal Article Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility, Journal of Economic Dynamics and Control, Elsevier (2022) View citations (10) (2022)
9. Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis
   Papers, arXiv.org View citations (5)
10. Large Hybrid Time-Varying Parameter VARs
    Papers, arXiv.org View citations (3)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (4)
    See also Journal Article Large Hybrid Time-Varying Parameter VARs, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (6) (2023)

2021

11. Asymmetric Conjugate Priors for Large Bayesian VARs
    Papers, arXiv.org View citations (3)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (10)
    See also Journal Article Asymmetric conjugate priors for large Bayesian VARs, Quantitative Economics, Econometric Society (2022) View citations (20) (2022)
12. Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach
    Papers, arXiv.org View citations (2)
13. Large Order-Invariant Bayesian VARs with Stochastic Volatility
    Papers, arXiv.org View citations (18)
    See also Journal Article Large Order-Invariant Bayesian VARs with Stochastic Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (7) (2024)

2020

14. An unobserved components model of total factor productivity and the relative price of investment
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    See also Journal Article An unobserved components model of total factor productivity and the relative price of investment, Macroeconomic Dynamics, Cambridge University Press (2023) (2023)
15. Bayesian state space models in macroeconometrics
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (4)
    See also Journal Article BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS, Journal of Economic Surveys, Wiley Blackwell (2023) View citations (4) (2023)
16. Multivariate Stochastic Volatility with Co-Heteroscedasticity
    GRIPS Discussion Papers, National Graduate Institute for Policy Studies View citations (3)
    Also in GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2018) View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (3)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (2)

2019

17. 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 View citations (1)
    See also Journal Article An automated prior robustness analysis in Bayesian model comparison, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (1) (2022)
18. 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 View citations (3)
    See also Journal Article Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (7) (2020)
19. Large Bayesian vector autoregressions
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (26)
20. 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
    See also Journal Article Minnesota-type adaptive hierarchical priors for large Bayesian VARs, International Journal of Forecasting, Elsevier (2021) View citations (30) (2021)

2018

21. Comparing hybrid time-varying parameter VARs
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (11)
    See also Journal Article Comparing hybrid time-varying parameter VARs, Economics Letters, Elsevier (2018) View citations (12) (2018)
22. Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney View citations (7)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (10)
    See also Journal Article Composite likelihood methods for large Bayesian VARs with stochastic volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (8) (2020)
23. 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 View citations (3)
    See also Chapter How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis, Advances in Econometrics, Emerald Group Publishing Limited (2019) View citations (5) (2019)
24. Identifying Noise Shocks
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
    See also Journal Article Identifying noise shocks, Journal of Economic Dynamics and Control, Elsevier (2020) View citations (3) (2020)
25. Reducing Dimensions in a Large TVP-VAR
    Working Paper series, Rimini Centre for Economic Analysis View citations (6)
    Also in Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney (2018) View citations (6)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (6)
26. 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 View citations (7)
    See also Journal Article Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts, International Journal of Forecasting, Elsevier (2020) View citations (11) (2020)

2017

27. 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 View citations (3)
    See also Journal Article Measuring Inflation Expectations Uncertainty Using High‐Frequency Data, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (9) (2018)
28. 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 View citations (6)

2016

29. 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 View citations (5)
    See also Journal Article Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter, Journal of Economic Dynamics and Control, Elsevier (2017) View citations (31) (2017)

2015

30. 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 View citations (3)
    See also Journal Article A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output, Journal of Money, Credit and Banking, Blackwell Publishing (2017) View citations (26) (2017)
31. A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (22)
    See also Journal Article A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (50) (2018)
32. 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 View citations (18)
    See also Journal Article Bayesian model comparison for time‐varying parameter VARs with stochastic volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (90) (2018)
33. 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 View citations (5)
34. Large Bayesian VARMAs
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014) View citations (8)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (8)
    Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (16)
    See also Journal Article Large Bayesian VARMAs, Journal of Econometrics, Elsevier (2016) View citations (21) (2016)
35. 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 View citations (32)
    See also Journal Article Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (62) (2020)
36. 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 View citations (4)
    See also Journal Article Modeling energy price dynamics: GARCH versus stochastic volatility, Energy Economics, Elsevier (2016) View citations (113) (2016)
37. 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 View citations (20)
    See also Journal Article Pitfalls of estimating the marginal likelihood using the modified harmonic mean, Economics Letters, Elsevier (2015) View citations (21) (2015)
38. 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 View citations (5)
    See also Journal Article Specification tests for time-varying parameter models with stochastic volatility, Econometric Reviews, Taylor & Francis Journals (2018) View citations (28) (2018)
39. 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 View citations (30)
    See also Journal Article The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (89) (2017)

2014

40. 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 View citations (2)
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2012) View citations (6)
    See also Journal Article A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (49) (2016)
41. 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 View citations (16)
    See also Journal Article Fast computation of the deviance information criterion for latent variable models, Computational Statistics & Data Analysis, Elsevier (2016) View citations (37) (2016)
42. 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 View citations (12)
43. Stochastic Model Specification Search for Time-Varying Parameter VARs
    Working Paper series, Rimini Centre for Economic Analysis View citations (9)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (31)
    See also Journal Article Stochastic Model Specification Search for Time-Varying Parameter VARs, Econometric Reviews, Taylor & Francis Journals (2016) View citations (36) (2016)
44. The Zero Lower Bound: Implications for Modelling the Interest Rate
    Working Paper series, Rimini Centre for Economic Analysis View citations (12)

2013

45. 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 View citations (3)
46. 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 View citations (44)
47. 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 View citations (2)
48. 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 View citations (6)
    See also Journal Article Invariant Inference and Efficient Computation in the Static Factor Model, Journal of the American Statistical Association, Taylor & Francis Journals (2018) View citations (22) (2018)
49. 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
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012)
    See also Journal Article Modelling breaks and clusters in the steady states of macroeconomic variables, Computational Statistics & Data Analysis, Elsevier (2014) View citations (9) (2014)
50. 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 View citations (99)
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2012) View citations (8)
    See also Journal Article Moving average stochastic volatility models with application to inflation forecast, Journal of Econometrics, Elsevier (2013) View citations (111) (2013)

2012

51. A New Model Of Trend Inflation
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) View citations (1)
    MPRA Paper, University Library of Munich, Germany (2012) View citations (12)
    Working Papers, University of Strathclyde Business School, Department of Economics (2012) View citations (6)
    See also Journal Article A New Model of Trend Inflation, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (75) (2013)
52. Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods
    MPRA Paper, University Library of Munich, Germany View citations (15)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) View citations (14)
53. Marginal Likelihood Estimation with the Cross-Entropy Method
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (3)
    See also Journal Article Marginal Likelihood Estimation with the Cross-Entropy Method, Econometric Reviews, Taylor & Francis Journals (2015) View citations (52) (2015)
54. 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 View citations (3)
55. 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 View citations (2)
    See also Journal Article Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (1) (2015)

2011

56. Time Varying Dimension Models
    Working Papers, University of Strathclyde Business School, Department of Economics View citations (2)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011) View citations (1)
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010) View citations (5)
    Working Paper series, Rimini Centre for Economic Analysis (2010) View citations (5)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (3)
    See also Journal Article Time Varying Dimension Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (63) (2012)

Journal Articles

2025

1. Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints
   Journal of Economic Dynamics and Control, 2025, 173, (C)
   See also Working Paper Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints, Papers (2024) (2024)

2024

2. Large Order-Invariant Bayesian VARs with Stochastic Volatility
   Journal of Business & Economic Statistics, 2024, 42, (2), 825-837 View citations (7)
   See also Working Paper Large Order-Invariant Bayesian VARs with Stochastic Volatility, Papers (2021) View citations (18) (2021)

2023

3. An unobserved components model of total factor productivity and the relative price of investment
   Macroeconomic Dynamics, 2023, 27, (5), 1397-1423
   See also Working Paper An unobserved components model of total factor productivity and the relative price of investment, CAMA Working Papers (2020) (2020)
4. BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS
   Journal of Economic Surveys, 2023, 37, (1), 58-75 View citations (4)
   See also Working Paper Bayesian state space models in macroeconometrics, CAMA Working Papers (2020) View citations (4) (2020)
5. Comparing stochastic volatility specifications for large Bayesian VARs
   Journal of Econometrics, 2023, 235, (2), 1419-1446 View citations (6)
   See also Working Paper Comparing Stochastic Volatility Specifications for Large Bayesian VARs, Papers (2022) View citations (3) (2022)
6. High-dimensional conditionally Gaussian state space models with missing data
   Journal of Econometrics, 2023, 236, (1) View citations (6)
   See also Working Paper High-Dimensional Conditionally Gaussian State Space Models with Missing Data, Papers (2023) View citations (8) (2023)
7. Large Hybrid Time-Varying Parameter VARs
   Journal of Business & Economic Statistics, 2023, 41, (3), 890-905 View citations (6)
   See also Working Paper Large Hybrid Time-Varying Parameter VARs, Papers (2022) View citations (3) (2022)

2022

8. An automated prior robustness analysis in Bayesian model comparison
   Journal of Applied Econometrics, 2022, 37, (3), 583-602 View citations (1)
   See also Working Paper An automated prior robustness analysis in Bayesian model comparison, CAMA Working Papers (2019) View citations (1) (2019)
9. Asymmetric conjugate priors for large Bayesian VARs
   Quantitative Economics, 2022, 13, (3), 1145-1169 View citations (20)
   See also Working Paper Asymmetric Conjugate Priors for Large Bayesian VARs, Papers (2021) View citations (3) (2021)
10. Choosing between identification schemes in noisy-news models
    Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 99-136
11. Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility
    Journal of Economic Dynamics and Control, 2022, 143, (C) View citations (10)
    See also Working Paper Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility, Papers (2022) View citations (10) (2022)

2021

12. Minnesota-type adaptive hierarchical priors for large Bayesian VARs
    International Journal of Forecasting, 2021, 37, (3), 1212-1226 View citations (30)
    See also Working Paper Minnesota-type adaptive hierarchical priors for large Bayesian VARs, CAMA Working Papers (2019) (2019)
13. Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach
    Journal of Economic Dynamics and Control, 2021, 127, (C) View citations (2)

2020

14. Composite likelihood methods for large Bayesian VARs with stochastic volatility
    Journal of Applied Econometrics, 2020, 35, (6), 692-711 View citations (8)
    See also Working Paper Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility, Working Paper Series (2018) View citations (7) (2018)
15. Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation
    Journal of Forecasting, 2020, 39, (6), 934-943 View citations (7)
    See also Working Paper Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation, CAMA Working Papers (2019) View citations (3) (2019)
16. Identifying noise shocks
    Journal of Economic Dynamics and Control, 2020, 111, (C) View citations (3)
    See also Working Paper Identifying Noise Shocks, Working Paper Series (2018) View citations (1) (2018)
17. Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
    Journal of Business & Economic Statistics, 2020, 38, (1), 68-79 View citations (62)
    See also Working Paper Large Bayesian VARs: A flexible Kronecker error covariance structure, CAMA Working Papers (2015) View citations (32) (2015)
18. Reducing the state space dimension in a large TVP-VAR
    Journal of Econometrics, 2020, 218, (1), 105-118 View citations (49)
19. Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts
    International Journal of Forecasting, 2020, 36, (4), 1318-1328 View citations (11)
    See also Working Paper Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts, CAMA Working Papers (2018) View citations (7) (2018)

2019

20. A regime switching skew-normal model of contagion
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (1), 24 View citations (10)

2018

21. A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations
    Journal of Money, Credit and Banking, 2018, 50, (1), 5-53 View citations (50)
    See also Working Paper A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations, Working Papers (Old Series) (2015) View citations (22) (2015)
22. Bayesian model comparison for time‐varying parameter VARs with stochastic volatility
    Journal of Applied Econometrics, 2018, 33, (4), 509-532 View citations (90)
    See also Working Paper Bayesian model comparison for time-varying parameter VARs with stochastic volatility, CAMA Working Papers (2015) View citations (18) (2015)
23. Comparing hybrid time-varying parameter VARs
    Economics Letters, 2018, 171, (C), 1-5 View citations (12)
    See also Working Paper Comparing hybrid time-varying parameter VARs, CAMA Working Papers (2018) View citations (11) (2018)
24. Invariant Inference and Efficient Computation in the Static Factor Model
    Journal of the American Statistical Association, 2018, 113, (522), 819-828 View citations (22)
    See also Working Paper Invariant Inference and Efficient Computation in the Static Factor Model, CAMA Working Papers (2013) View citations (6) (2013)
25. Measuring Inflation Expectations Uncertainty Using High‐Frequency Data
    Journal of Money, Credit and Banking, 2018, 50, (6), 1139-1166 View citations (9)
    See also Working Paper Measuring inflation expectations uncertainty using high-frequency data, CAMA Working Papers (2017) View citations (3) (2017)
26. Specification tests for time-varying parameter models with stochastic volatility
    Econometric Reviews, 2018, 37, (8), 807-823 View citations (28)
    See also Working Paper Specification tests for time-varying parameter models with stochastic volatility, CAMA Working Papers (2015) View citations (5) (2015)

2017

27. A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output
    Journal of Money, Credit and Banking, 2017, 49, (2-3), 525-552 View citations (26)
    See also Working Paper A Bayesian model comparison for trend-cycle decompositions of output, CAMA Working Papers (2015) View citations (3) (2015)
28. Efficient estimation of Bayesian VARMAs with time†varying coefficients
    Journal of Applied Econometrics, 2017, 32, (7), 1277-1297 View citations (5)
29. Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter
    Journal of Economic Dynamics and Control, 2017, 75, (C), 114-121 View citations (31)
    See also Working Paper Reconciling output gaps: unobserved components model and Hodrick-Prescott filter, CAMA Working Papers (2016) View citations (5) (2016)
30. 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 View citations (89)
    See also Working Paper The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling, CAMA Working Papers (2015) View citations (30) (2015)

2016

31. A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve
    Journal of Applied Econometrics, 2016, 31, (3), 551-565 View citations (49)
    See also Working Paper A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve, CAMA Working Papers (2014) View citations (2) (2014)
32. Fast computation of the deviance information criterion for latent variable models
    Computational Statistics & Data Analysis, 2016, 100, (C), 847-859 View citations (37)
    See also Working Paper Fast Computation of the Deviance Information Criterion for Latent Variable Models, CAMA Working Papers (2014) View citations (16) (2014)
33. Large Bayesian VARMAs
    Journal of Econometrics, 2016, 192, (2), 374-390 View citations (21)
    See also Working Paper Large Bayesian VARMAs, Working Paper series (2015) View citations (2) (2015)
34. Modeling energy price dynamics: GARCH versus stochastic volatility
    Energy Economics, 2016, 54, (C), 182-189 View citations (113)
    See also Working Paper Modeling energy price dynamics: GARCH versus stochastic volatility, CAMA Working Papers (2015) View citations (4) (2015)
35. On the Observed-Data Deviance Information Criterion for Volatility Modeling
    Journal of Financial Econometrics, 2016, 14, (4), 772-802 View citations (53)
36. Stochastic Model Specification Search for Time-Varying Parameter VARs
    Econometric Reviews, 2016, 35, (8-10), 1638-1665 View citations (36)
    See also Working Paper Stochastic Model Specification Search for Time-Varying Parameter VARs, Working Paper series (2014) View citations (9) (2014)

2015

37. Marginal Likelihood Estimation with the Cross-Entropy Method
    Econometric Reviews, 2015, 34, (3), 256-285 View citations (52)
    See also Working Paper Marginal Likelihood Estimation with the Cross-Entropy Method, CAMA Working Papers (2012) View citations (2) (2012)
38. Pitfalls of estimating the marginal likelihood using the modified harmonic mean
    Economics Letters, 2015, 131, (C), 29-33 View citations (21)
    See also Working Paper Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean, CAMA Working Papers (2015) View citations (20) (2015)
39. Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments
    Journal of Applied Econometrics, 2015, 30, (4), 650-674 View citations (1)
    See also Working Paper Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments, ANU Working Papers in Economics and Econometrics (2012) View citations (2) (2012)

2014

40. Modelling breaks and clusters in the steady states of macroeconomic variables
    Computational Statistics & Data Analysis, 2014, 76, (C), 186-193 View citations (9)
    See also Working Paper Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables, ANU Working Papers in Economics and Econometrics (2013) (2013)

2013

41. A New Model of Trend Inflation
    Journal of Business & Economic Statistics, 2013, 31, (1), 94-106 View citations (75)
    See also Working Paper A New Model Of Trend Inflation, SIRE Discussion Papers (2012) View citations (1) (2012)
42. Moving average stochastic volatility models with application to inflation forecast
    Journal of Econometrics, 2013, 176, (2), 162-172 View citations (111)
    See also Working Paper Moving Average Stochastic Volatility Models with Application to Inflation Forecast, CAMA Working Papers (2013) View citations (99) (2013)

2012

43. Time Varying Dimension Models
    Journal of Business & Economic Statistics, 2012, 30, (3), 358-367 View citations (63)
    See also Working Paper Time Varying Dimension Models, Working Papers (2011) View citations (2) (2011)

2011

44. Rare-event probability estimation with conditional Monte Carlo
    Annals of Operations Research, 2011, 189, (1), 43-61 View citations (7)

2010

45. Efficient estimation of large portfolio loss probabilities in t-copula models
    European Journal of Operational Research, 2010, 205, (2), 361-367 View citations (40)

2005

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

Books

2019

1. Bayesian Econometric Methods
   Cambridge Books, Cambridge University Press View citations (18)
   Also in Cambridge Books, Cambridge University Press (2019) View citations (20)

Chapters

2024

1. BVARs and stochastic volatility
   Chapter 3 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 43-67
   See also Working Paper BVARs and Stochastic Volatility, arXiv.org (2023) View citations (1) (2023)

2020

2. Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance*
   A chapter in Essays in Honor of Cheng Hsiao, 2020, vol. 41, pp 255-285

2019

3. An Alternate Parameterization for Bayesian Nonparametric/Semiparametric Regression
   A chapter in Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part B, 2019, vol. 40B, pp 47-64 View citations (1)
4. How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis
   A chapter in Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, 2019, vol. 40A, pp 229-248 View citations (5)
   See also Working Paper How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (3) (2018)