18 citations · 47 across the 7 of their papers we have counts for
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econ.EM2021★ 4 cited
Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach
Joshua C. C. Chan, Aubrey Poon, Dan Zhu
State-space mixed-frequency vector autoregressions are now widely used for nowcasting. Despite their popularity, estimating such models can be computationally intensive, especially…
econ.EM2021★ 18 cited
Large Order-Invariant Bayesian VARs with Stochastic Volatility
Joshua C. C. Chan, Gary Koop, Xuewen Yu
Many popular specifications for Vector Autoregressions (VARs) with multivariate stochastic volatility are not invariant to the way the variables are ordered due to the use of a Cho…
econ.EM2021
On Parameter Estimation in Unobserved Components Models subject to Linear Inequality Constraints
Abhishek K. Umrawal, Joshua C. C. Chan
We propose a new \textit{quadratic programming-based} method of approximating a nonstandard density using a multivariate Gaussian density. Such nonstandard densities usually arise…