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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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Reducing dimensions in a large TVP-VAR
Chan, Joshua; Eisenstat, Eric; Strachan, Rodney W. - 2018
Persistent link: https://www.econbiz.de/10012203786
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012203994
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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - 2014
Persistent link: https://www.econbiz.de/10010348808
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Reducing the state space dimension in a large TVP-VAR
Chan, Joshua; Eisenstat, Eric; Strachan, Rodney W. - In: Journal of econometrics 218 (2020) 1, pp. 105-118
Persistent link: https://www.econbiz.de/10012482932
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Bayesian state space models in macroeconometrics
Chan, Joshua; Strachan, Rodney W. - 2020
Persistent link: https://www.econbiz.de/10012533935
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012196752
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Bayesian state space models in macroeconometrics
Chan, Joshua; Strachan, Rodney W. - In: Journal of economic surveys 37 (2023) 1, pp. 58-75
Persistent link: https://www.econbiz.de/10014287769
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2020 - This version: September 2020
Persistent link: https://www.econbiz.de/10013355422
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Estimation in non-linear non-Gaussian state space models with precision-based methods
Chan, Joshua C. C.; Strachan, Rodney W. - 2012
Persistent link: https://www.econbiz.de/10009561179