Overview
Joshua C. C. Chan is an econometrician (Purdue University; Centre for Applied Macroeconomic Analysis, ANU) known for Bayesian macroeconometrics, efficient computational methods for state-space and large VAR models, and shrinkage priors.
Key Contributions / Features
- Asymmetric conjugate priors for large BVARs (Chan 2022): a conjugate prior that permits cross-variable (asymmetric) shrinkage while keeping a closed-form marginal likelihood and fast equation-by-equation estimation. Quantitative Economics 13(3): 1145–1169.
- Efficient Bayesian computation: precision-based and band-matrix algorithms for state-space models; large BVARs with flexible error covariances and stochastic volatility.
- Widely used expositions and code for Bayesian macroeconometric methods.
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