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Josh Chan

Josh Chan

Professor of Economics
Olson Professor in Management


Ph.D., Statistics, University of Queensland

Joshua Chan is Krannert Rising Star Professor of Economics at Purdue University. His research focuses on the development and application of Bayesian methods in macroeconometrics. He is particularly interested in building new high-dimensional time-series models, especially stochastic volatility models. His favorite applications of these models are trend inflation and output gap estimation.

He serves as Associate Editor for the Journal of Applied Econometrics and Stochastic Models. He has written two graduate textbooks: Bayesian Econometric Methods (Second Edition) (joint with Gary Koop, Dale Poirier and Justin Tobias) and Statistical Modeling and Computation (joint with Dirk Kroese).


Journal Articles

  • Chan, J. and Song, Y. (2018). Measuring Inflation Expectations Uncertainty Using High-Frequency Data. Journal of Money, Credit and Banking, vol. 50 (6), 1139-1166.
  • Chan, J., Leon-Gonzalez, R. and Strachan, R. (2018). Invariant Inference and Efficient Computation in the Static Factor Model. Journal of the American Statistical Association, vol. 113 819-828.
  • Chan, J. and Eisenstat, E. (2018). Comparing Hybrid Time-Varying Parameter VARs. Economics Letters, vol. 171 1-5.
  • Chan, J and Eisenstat, E (2018). Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility. Journal of Applied Econometrics, vol. 33 (4), 509-532.
  • Chan, J. (2018). Specification Tests for Time-Varying Parameter Models with Stochastic Volatility. Econometric Reviews, vol. 37 (8), 807-823.
  • Chan, J., Clark, T. and Koop, G. (2018). A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations. Journal of Money, Credit and Banking, vol. 50 (1), 5-53.


  • Chan, J., Koop, G., Poirier, D. and Tobias, J. (2019). Bayesian Econometric Methods (Second Edition). Cambridge University Press,
  • Kroese, D. and Chan, J. (2014). Statistical Modeling and Computation. Springer,
  • Econ 590 (Fall)
  • Econ 671 (Fall)
  • Econ 690 (Fall )

Phone: (765) 496-2737
Office: RAWL 4019

Quick links

Personal website

Area(s) of Expertise

inflation modeling, Bayesian model comparison and efficient estimation of nonlinear state space models