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Josh Chan

Josh Chan

Professor of Economics
Olson Professor in Management


Ph.D., Statistics, University of Queensland

Joshua Chan is Olson Chair in Management and Krannert Rising Star Professor of Economics at Purdue University. His research focuses on the development and application of Bayesian methods in macroeconometrics. He is particularly interested in building new high-dimensional time-series models, especially stochastic volatility models. His favorite applications of these models are trend inflation and output gap estimation.

He serves as Chair for the Economics, Finance and Business Section of the International Society for Bayesian Analysis. He is also an Associate Editor of the Journal of Business and Economic Statistics, Journal of Applied Econometrics and Stochastic Models. He has written two graduate textbooks: Bayesian Econometric Methods (Second Edition) (joint with Gary Koop, Dale Poirier and Justin Tobias) and Statistical Modeling and Computation (joint with Dirk Kroese).


Journal Articles

  • 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. C. C. (2022). Asymmetric Conjugate Priors for Large Bayesian VARs. Quantitative Economics, vol. 13 (3), 1145-1169.
  • 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., 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., 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. (2020). Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure. Journal of Business and Economic Statistics, vol. 38 (1), 68-79.
  • Benati, L., Chan, J., Eisenstat, E. and Koop, G. (2020). Identifying Noise Shocks. Journal of Economic Dynamics and Control, vol. 111 103780.
  • 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.
  • 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.
  • 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.
  • 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.
  • 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. 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 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. (2018). Specification Tests for Time-Varying Parameter Models with Stochastic Volatility. Econometric Reviews, vol. 37 (8), 807-823.
  • 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 Song, Y. (2018). Measuring Inflation Expectations Uncertainty Using High-Frequency Data. Journal of Money, Credit and Banking, vol. 50 (6), 1139-1166.


  • 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). Large Hybrid Time-Varying Parameter VARs. Journal of Econometrics,
  • Chan, J. C. C. (2022). Comparing Stochastic Volatility Specifications for Large Bayesian VARs. Journal of Econometrics,
  • Econ 590 (Fall)
  • Econ 671 (Fall)
  • Econ 690 (Fall )

Phone: (765) 496-2737
Office: RAWL 4019

Quick links

Personal website

Area(s) of Expertise

inflation modeling, Bayesian model comparison and efficient estimation of nonlinear state space models