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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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Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
Chan, Joshua; Yu, Xuewen - In: Journal of economic dynamics & control 143 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013539520
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Marginal likelihood estimation with the cross-entropy method
Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285
Persistent link: https://www.econbiz.de/10011373293
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Speculative bubbles in present-value models : A Bayesian Markov-switching state space approach
Chan, Joshua; Santi, Caterina - In: Journal of economic dynamics & control 127 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012668503
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Reconciling output gaps : unobserved components model and Hodrick-Prescott filter
Grant, Angelia L.; Chan, Joshua - In: Journal of economic dynamics & control 75 (2017), pp. 114-121
Persistent link: https://www.econbiz.de/10011817152
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Identifying noise shocks
Benati, Luca; Chan, Joshua; Eisenstat, Eric; Koop, Gary - In: Journal of economic dynamics & control 111 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012501450