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In-sample inference and forecasting in misspecified factor models
Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 313-338
Persistent link: https://www.econbiz.de/10011691438
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Rejoinder: In-sample inference and forecasting in misspecified factor models
Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 353-356
Persistent link: https://www.econbiz.de/10011691450
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The stochastic volatility in mean model with time-varying parameters : an application to inflation modeling
Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 17-28
Persistent link: https://www.econbiz.de/10011704092
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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - In: Econometric reviews 35 (2016) 8/10, pp. 1638-1665
Persistent link: https://www.econbiz.de/10011592382
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Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - In: Econometric reviews 37 (2018) 6/10, pp. 807-823
Persistent link: https://www.econbiz.de/10012040412
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Large hybrid time-varying parameter VARs
Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
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Large order-invariant Bayesian VARs with stochastic volatility
Chan, Joshua; Koop, Gary; Yu, Xuewen - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 825-837
Persistent link: https://www.econbiz.de/10015053470