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.

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). 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 )