- Zhang B, Chan JCC, Cross JL, June 2018, Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts paper no. 32/2018.
- Chan JCC, Eisenstat E, June 2018, Comparing hybrid time-varying parameter VARs paper no. 31/2018.
- Chan JCC, Eisenstat E, Hou C, Koop G, May 2018, Composite likelihood methods for large Bayesian VARs with stochastic volatility paper no. 26/2018.
This program focuses on the role of model uncertainty in empirical macroeconomics. This literature treats the ‘true’ model as an unobservable - an admission that has implications for many areas of macroeconomic analysis and has generated two distinct research sub-programs. One represents a renewed interest in model evaluation, comparison, selection and combinations when model misspecification is explicitly recognized. A second sub-program is based on accounting for model uncertainty explicitly in constructing predictive densities for objects of economic interest, conducting statistical inference and evaluating policies.