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Modelling inflation volatility

Eisenstat, Eric; Strachan, Rodney W. - In: Journal of applied econometrics 31 (2016) 5, pp. 805-820

Persistent link: https://www.econbiz.de/10011645234

Stochastic model specification search for time-varying parameter VARs

Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - In: Econometric reviews 35 (2016) 8/10, pp. 1638-1665

Persistent link: https://www.econbiz.de/10011592382

Reducing the state space dimension in a large TVP-VAR

Chan, Joshua; Eisenstat, Eric; Strachan, Rodney W. - In: Journal of econometrics 218 (2020) 1, pp. 105-118

Persistent link: https://www.econbiz.de/10012482932

Composite likelihood methods for large Bayesian VARs with stochastic volatility

Chan, Joshua C. C.; Eisenstat, Eric; Hou, Chenghan; … - In: Journal of Applied Econometrics 35 (2020) 6, pp. 692-711

Persistent link: https://www.econbiz.de/10012273457

Bayesian model comparison for time‐varying parameter VARs with stochastic volatility

Chan, Joshua C. C.; Eisenstat, Eric - In: Journal of Applied Econometrics 33 (2018) 4, pp. 509-532

Persistent link: https://www.econbiz.de/10012082765

Marginal Likelihood Estimation with the Cross-Entropy Method

Chan, Joshua C. C.; Eisenstat, Eric - In: Econometric Reviews 34 (2015) 3, pp. 256-285

We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...

Persistent link: https://www.econbiz.de/10010975493