Journal Articles

• Chan, J. C. C., Jacobi, L., & Zhu, D. (2022). "An Automated Prior Robustness Analysis in Bayesian Model Comparison." Journal of Applied Econometrics vol. 37 (3), 583-602.
• Chan, J. C. C. (2022). "Asymmetric Conjugate Priors for Large Bayesian VARs." Quantitative Economics vol. 13 (3), 1145-1169.
• Chan, J. C. C., Carriero, A., Clark, T., & Marcellino, M. (2022). "Corrigendum to: Large Bayesian Vector Autoregressions with Stochastic Volatility and Non-Conjugate Priors." Journal of Econometrics vol. 227 (2), 506-512.
• Chan, J., Eisenstat, E., Hou, C. and Koop, G. (2020). "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility." Journal of Applied Econometrics vol. 35 (6), 692-711.
• Chan, J., Jacobi, L. and Zhu, D. (2020). "Efficient Selection of Hyperparameters in Large Bayesian VARs Using Automatic Differentiation." Journal of Forecasting vol. 39 (6), 934-943.
• Benati, L., Chan, J., Eisenstat, E. and Koop, G. (2020). "Identifying Noise Shocks." Journal of Economic Dynamics and Control vol. 111 103780.
• Chan, J. (2020). "Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure." Journal of Business and Economic Statistics vol. 38 (1), 68-79.
• Chan, J., Eisenstat, E. and Strachan, R. (2020). "Reducing the State Space Dimension in a Large TVP-VAR." Journal of Econometrics vol. 218 (1), 105-118.
• Chan, J., Hou, C. and Yang, T. (2020). "Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance." Advances in Econometrics vol. 41 255-285.
• Zhang, B., Chan, J. and Cross, J. (2020). "Stochastic Volatility Models with ARMA Innovations: An Application to G7 Inflation Forecasts." International Journal of Forecasting vol. 36 (4), 1318-1328.
• Tobias, J. and Chan, J. (2019). "An Alternate Parameterization for Bayesian Nonparametric / Semiparametric Regression." Advances in Econometrics vol. 40B 47-64.
• Chan, J., Fry-McKibbin, R. and Hsiao, C. (2019). "A Regime Switching Skew-normal Model of Contagion." Studies in Nonlinear Dynamics and Econometrics vol. 23 (1), 20170001.
• Chan, J., Jacobi, L. and Zhu, D. (2019). "How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis." Advances in Econometrics vol. 40A 229-248.
• Chan, J., Clark, T. and Koop, G. (2018). "A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations." Journal of Money, Credit and Banking vol. 50 (1), 5-53.
• Chan, J and Eisenstat, E (2018). "Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility." Journal of Applied Econometrics vol. 33 (4), 509-532.
• Chan, J. and Eisenstat, E. (2018). "Comparing Hybrid Time-Varying Parameter VARs." Economics Letters vol. 171 1-5.
• Chan, J., Leon-Gonzalez, R. and Strachan, R. (2018). "Invariant Inference and Efficient Computation in the Static Factor Model." Journal of the American Statistical Association vol. 113 819-828.
• Chan, J. and Song, Y. (2018). "Measuring Inflation Expectations Uncertainty Using High-Frequency Data." Journal of Money, Credit and Banking vol. 50 (6), 1139-1166.
• Chan, J. (2018). "Specification Tests for Time-Varying Parameter Models with Stochastic Volatility." Econometric Reviews vol. 37 (8), 807-823.

Books

• Chan, J., Koop, G., Poirier, D. and Tobias, J. (2019). "Bayesian Econometric Methods (Second Edition)." Cambridge University Press
• Kroese, D. and Chan, J. (2014). "Statistical Modeling and Computation." Springer

Forthcoming Publications

• Chan, J. C. C. (2022). "Comparing Stochastic Volatility Specifications for Large Bayesian VARs." Journal of Econometrics
• Chan, J. C. C. (2022). "Large Hybrid Time-Varying Parameter VARs." Journal of Econometrics

• Econ 590 (Fall)
• Econ 671 (Fall)
• Econ 690 (Fall )