Chan, Joshua C. C. Specification tests for time-varying parameter models with stochastic volatility. (English) Zbl 1490.62428 Econom. Rev. 37, No. 8, 807-823 (2018). MSC: 62P20 62F15 PDFBibTeX XMLCite \textit{J. C. C. Chan}, Econom. Rev. 37, No. 8, 807--823 (2018; Zbl 1490.62428) Full Text: DOI Link
Eisenstat, Eric; Chan, Joshua C. C.; Strachan, Rodney W. Stochastic model specification search for time-varying parameter VARs. (English) Zbl 1491.62206 Econom. Rev. 35, No. 8-10, 1638-1665 (2016). MSC: 62P20 62F15 62M10 62J07 91B64 PDFBibTeX XMLCite \textit{E. Eisenstat} et al., Econom. Rev. 35, No. 8--10, 1638--1665 (2016; Zbl 1491.62206) Full Text: DOI Link
Chan, Joshua C. C.; Eisenstat, Eric Marginal likelihood estimation with the cross-entropy method. (English) Zbl 1491.62193 Econom. Rev. 34, No. 3, 256-285 (2015). MSC: 62P20 62F15 65C05 65C40 62-08 91B84 PDFBibTeX XMLCite \textit{J. C. C. Chan} and \textit{E. Eisenstat}, Econom. Rev. 34, No. 3, 256--285 (2015; Zbl 1491.62193) Full Text: DOI Link