My research interests include inflation modeling, output gap estimation, model comparison and stochastic volatility models. My current research is supported by the Australian Research Council through two research grants: an ARC Discovery Early Career Researcher Award and an ARC Discovery Project.

MATLAB code and datasets used in some of my papers can be found below. The code is arranged by topics here.

US trend inflation estimates from various models can be downloaded here.

See also my Google Scholar citations and information about my coauthors.

Book

Working Papers

Refereed Journal Publications

  1. Efficient Estimation of Bayesian VARMAs with Time-Varying Coefficients
    Joshua Chan and Eric Eisenstat (2017)
    Journal of Applied Econometrics, forthcoming
    [ Journal Version | Working Paper | Code ]
  2. Invariant Inference and Efficient Computation in the Static Factor Model
    Joshua Chan, Roberto Leon-Gonzalez and Rodney Strachan (2017)
    Journal of the American Statistical Association, forthcoming
    [ Journal Version | Working Paper | Code ]
  3. Specification Tests for Time-Varying Parameter Models with Stochastic Volatility
    Joshua Chan (2017)
    Econometric Reviews, forthcoming
    [ Journal Version | Working Paper | Code | Trend Inflation Estimates ]
  4. A Bayesian Model Comparison for Trend-Cycle Decompositions of Output
    Angelia Grant and Joshua Chan (2017)
    Journal of Money, Credit and Banking, 49(2-3): 525-552
    [ Journal Version | Working Paper | Code ]
  5. Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter
    Angelia Grant and Joshua Chan (2017)
    Journal of Economic Dynamics and Control, 75, 114-121
    [ Journal Version | Working Paper | Code ]
  6. The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling
    Joshua Chan (2017)
    Journal of Business and Economic Statistics, 35(1), 17-28
    [ Journal Version | Working Paper | Code ]
  7. Large Bayesian VARMAs
    Joshua Chan, Eric Eisenstat and Gary Koop (2016)
    Journal of Econometrics, 192(2), 374-390
    [ Journal Version | Working Paper | Appendix | Code ]
  8. On the Observed-Data Deviance Information Criterion for Volatility Modeling
    Joshua Chan and Angelia Grant (2016)
    Journal of Financial Econometrics, 14(4), 772-802
    [ Journal Version | Working Paper | Code ]
    (Previous title: Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion)
  9. Stochastic Model Specification Search for Time-Varying Parameter VARs
    Eric Eisenstat, Joshua Chan and Rodney Strachan (2016)
    Econometric Reviews, 35(8-10), 1638-1665
    [ Journal Version | Working Paper | Code ]
  10. Fast Computation of the Deviance Information Criterion for Latent Variable Models
    Joshua Chan and Angelia Grant (2016)
    Computational Statistics and Data Analysis, 100, 847-859
    [ Journal Version | Working Paper | Code ]
  11. A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve
    Joshua Chan, Gary Koop and Simon Potter (2016)
    Journal of Applied Econometrics, 31(3), 551-565
    [ Journal Version | Working Paper | Appendix | Code | Trend Inflation Estimates ]
  12. Modeling Energy Price Dynamics: GARCH versus Stochastic Volatility
    Joshua Chan and Angelia Grant (2016)
    Energy Economics, 54, 182-189
    [ Journal Version | Working Paper | Code ]
  13. Priors and Posterior Computation in Linear Endogenous Variables Models with Imperfect Instruments
    Joshua Chan and Justin Tobias (2015)
    Journal of Applied Econometrics, 30(4), 650-674
    [ Journal Version | Working Paper | Code ]
  14. Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean
    Joshua Chan and Angelia Grant (2015)
    Economics Letters, 131, 29-33
    [ Journal Version | Working Paper ]
  15. Marginal Likelihood Estimation with the Cross-Entropy Method
    Joshua Chan and Eric Eisenstat (2015)
    Econometric Reviews, 34(3), 256-285
    [ Journal Version | Working Paper | Code ]
  16. Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables
    Joshua Chan and Gary Koop (2014)
    Computational Statistics and Data Analysis, 76, 186-193
    [ Journal Version | Working Paper ]
  17. Moving Average Stochastic Volatility Models with Application to Inflation Forecast
    Joshua Chan (2013)
    Journal of Econometrics, 176(2), 162-172
    [ Journal Version | Working Paper | Code ]
  18. A New Model of Trend Inflation
    Joshua Chan, Gary Koop and Simon Potter (2013)
    Journal of Business and Economic Statistics, 31(1), 94-106
    [ Journal Version | Working Paper | Appendix | Code | Trend Inflation Estimates ]
  19. Time Varying Dimension Models
    Joshua Chan, Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan (2012)
    Journal of Business and Economic Statistics, 30(3), 358-367
    [ Journal Version | Working Paper | Appendix ]
  20. Improved Cross-Entropy Method for Estimation
    Joshua Chan and Dirk Kroese (2012)
    Statistics and Computing, 22(5), 1031-1040
    [ Journal Version | Working Paper | Code ]
  21. A Comparison of Cross-Entropy and Variance Minimization Strategies
    Joshua Chan, Peter Glynn and Dirk Kroese (2011)
    Journal of Applied Probability, 48A, 183-194
    [ Journal Version | Working Paper ]
  22. Rare-event Probability Estimation with Conditional Monte Carlo
    Joshua Chan and Dirk Kroese (2011)
    Annals of Operations Research, 189, 43-61
    [ Journal Version | Working Paper]
  23. Efficient Estimation of Large Portfolio Loss Probabilities in t-copula Models
    Joshua Chan and Dirk Kroese (2010)
    European Journal of Operational Research, 205, 361-367
    [ Journal Version | Working Paper ]
  24. MCMC Estimation of Restricted Covariance Matrix
    Joshua Chan and Ivan Jeliazkov (2009)
    Journal of Computational and Graphical Statistics, 18, 457-480
    [ Journal Version | Working Paper | Code ]
  25. Efficient Simulation and Integrated Likelihood Estimation in State Space Models
    Joshua Chan and Ivan Jeliazkov (2009)
    International Journal of Mathematical Modelling and Numerical Optimisation, 1, 101-120
    [ Journal Version | Working Paper | Code ]
  26. Replication of the Results in 'Learning about Heterogeneity in Returns to Schooling'
    Joshua Chan (2005)
    Journal of Applied Econometrics, 20, 439-443
    [ Journal Version ]

Book Chapters

  1. Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence
    Joshua Chan and Cody Hsiao (2014)
    In: I. Jeliazkov and X.-S. Yang (Eds.), Bayesian Inference in the Social Sciences, 159-180, John Wiley & Sons, Hoboken, New Jersey (Code)
  2. Monte Carlo Methods for Portfolio Credit Risk
    Tim Brereton, Joshua Chan and Dirk Kroese (2013)
    In: H. Scheule and D. Rosch (Eds.), Credit Portfolio Securitizations and Derivatives, 127-152, John Wiley & Sons, New York

Refereed Conference Proceedings

  1. Fitting Mixture Importance Sampling Distributions via Improved Cross-Entropy
    Tim Brereton, Joshua Chan and Dirk Kroese (2011)
    Proceedings of the 2011 Winter Simulation Conference, 422-428
  2. Randomized Methods for Solving the Winner Determination Problem in Combinatorial Auctions
    Joshua Chan and Dirk Kroese (2008)
    Proceedings of the 2008 Winter Simulation Conference, 1344-1349