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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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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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High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua; Poon, Aubrey; Zhu, Dan - In: Journal of econometrics 236 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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The stochastic volatility in mean model with time-varying parameters : an application to inflation modeling
Chan, Joshua - 2015
Persistent link: https://www.econbiz.de/10011342445
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Large Bayesian vector autoregressions
Chan, Joshua - 2019
Persistent link: https://www.econbiz.de/10012223735
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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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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