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An automated prior robustness analysis in Bayesian model comparison
Chan, Joshua; Jacobi, Liana; Zhu, Dan - In: Journal of applied econometrics 37 (2022) 3, pp. 583-602
Persistent link: https://www.econbiz.de/10013186701
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How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis
Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2019
Persistent link: https://www.econbiz.de/10012244156
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An automated prior robustness analysis in Bayesian model comparison
Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2019
Persistent link: https://www.econbiz.de/10012223998
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Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation
Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2019
Persistent link: https://www.econbiz.de/10012224001
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How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis
Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2018
Persistent link: https://www.econbiz.de/10012202254
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Asymmetric conjugate priors for large Bayesian VARs
Chan, Joshua - 2019
Persistent link: https://www.econbiz.de/10012224053
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Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua - 2019
Persistent link: https://www.econbiz.de/10012224435
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Large Bayesian VARs : a flexible Kronecker error covariance structure
Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 68-79
Persistent link: https://www.econbiz.de/10012179513
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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