Research

My current research focuses on time-series econometrics, model uncertainty/averaging, and shrinkage estimation. My empirical work is exclusively Bayesian. At the moment, I am particularly focused on developing singular Vector Autoregressive models for structural inference from large macroeconomic time series data. This work is supported by the ARC Discover Project grant DP240101773, Closing the Gap Between Theory and Data in Macroeconometrics, with Rodney Strachan.

On this page, you will find copies of my published and working papers. I have also made a commitment to make available the code used in each (future published) paper. All my programs are coded in MATLAB, and I will do my best to honor this commitment. However, the code is intended for information purposes only (for commercial use, prior written permission is required) —it may be at times messy, and with no guarantees that it will work on a system other than my own. I do not provide any form of technical support for this code, and under no circumstances will I or my co-authors be held responsible for anything related to its use in any way. If you do not agree to the above, you do not have permission to download any code available on this website. 

Refereed Journal Publications

1. Eisenstat, E. and Strachan, R. W. (2026) Singular Vector Autoregressions. Journal of Econometrics, forthcoming. [published version; working paper; online appendix; code]

2. Chan, J. C. C., Eisenstat, E. and Koop, G. (2022) Choosing Between Identification Schemes in Noisy-News Models. Studies in Nonlinear Dynamics & Econometrics, 26(1): 99-136. [published version; working paper; online appendix; code]

3. Chan, J. C. C., Eisenstat, E., Hou, C. and Koop, G. (2020). Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility. Journal of Applied Econometrics, 35(6): 692-711. [published version; working paper; online appendix; code]

4. Chan, J. C. C., Eisenstat, E. and Strachan, R. W. (2020). Reducing the State Space Dimension in a Large TVP-VAR. Journal of Econometrics, 218(1): 105-118. [published version; working paper; online appendix; code]

5. Benati, L, Chan, J. C. C., Eisenstat, E. and Koop, G. (2020). Identifying Noise Shocks. Journal of Economic Dynamics and Control, 111: 103780. [published version; working paper; online appendix; code]

6. Chan, J. C. C. and Eisenstat, E. (2018). Comparing Hybrid Time-Varying Parameter VARs. Economic Letters, 171: 1-5. [published version; working paper; code]

7. Chan, J. C. C. and Eisenstat, E. (2018). Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility. Journal of Applied Econometrics, 33(4): 509-532. [published version; working paper; code]

8. Chan, J. C. C. and Eisenstat, E. (2017). Efficient Estimation of Bayesian VARMAs With Time-Varying Coefficients. Journal of Applied Econometrics, 32(7): 1277-1297. [published version; working paper; code]

9. Chan, J. C. C., Eisenstat, E. and Koop, G. (2016). Large Bayesian VARMAs. Journal of Econometrics, 192(2): 374-390. [published version; working paper; online appendix; code]

10. Eisenstat, E. and Strachan, R. W. (2016). Modelling Inflation Volatility. Journal of Applied Econometrics, 31(5): 805-820. [published version; working paper; online appendix; code]

11. Eisenstat, E., Chan, J. C. C. and Strachan, R. W. (2016). Stochastic Model Specification Search for Time-Varying Parameter VARs, Econometric Reviews, 35(8-10): 1638-1665. [published version; working paper; code]

12. Chan, J. C. C. and Eisenstat, E. (2015). Marginal Likelihood Estimation with the Cross-Entropy Method, Econometric Reviews, 34(3): 256-285. [published version; working paper; code]

13. Eisenstat, E. (2013). Behavioral Model Uncertainty in Estimation of Structural Oligopoly Models, International Journal of Mathematical Modeling and Numerical Optimisation, 4(3): 252-281. [published version; working paper]

Book Chapters

1. Eisenstat, E. (2014). Stochastic Search for Price Insensitive Consumers, in I. Jeliazkov and X. S. Yang (Eds.), Bayesian Inference in the Social Sciences, pages 227-248, Wiley, New York. [paper version]

Working Papers

1. Chan, J. C. C., Eisenstat, E. and Yu, X. Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis. [paper]