1 citations · 1 across the 3 of their papers we have counts for
3 papers
econ.EM2025
Large Bayesian VARs for Binary and Censored Variables
Joshua C. C. Chan, Michael Pfarrhofer
We extend the standard VAR to jointly model the dynamics of binary, censored and continuous variables, and develop an efficient estimation approach that scales well to high-dimensi…
econ.EM2024
Large Bayesian Tensor VARs with Stochastic Volatility
Joshua C. C. Chan, Yaling Qi
We consider Bayesian tensor vector autoregressions (TVARs) in which the VAR coefficients are arranged as a three-dimensional array or tensor, and this coefficient tensor is paramet…
econ.EM2023★ 1 cited
BVARs and Stochastic Volatility
Joshua Chan
Bayesian vector autoregressions (BVARs) are the workhorse in macroeconomic forecasting. Research in the last decade has established the importance of allowing time-varying volatili…