Dr Eric Eisenstat
Dr

Eric Eisenstat

Email: 
Phone: 
+61 7 336 56467

Background

Eric Eisenstat received his Ph.D. in 2007 from the University of California, Irvine. His current research focuses on Bayesian time-series econometrics, particularly structural inference from multivariate models, but he also works on model uncertainty/averaging and shrinkage estimation in big data settings. Alongside publishing in top academic journals, Eric also routinely provides consulting services to policy institutions and private organisations. His recent consulting work has focused on developing and implementing marketing mix models in big data settings.

Availability

Dr Eric Eisenstat is:
Available for supervision

Fields of research

Applied economics Econometric and statistical methods Econometrics Economic models and forecasting Economics Macroeconomics (incl. monetary and fiscal theory) Time-series analysis

Qualifications

  • Doctor of Philosophy, University of California

Search Professor Eric Eisenstat’s works on UQ eSpace

16 works between 2010 and 2022
All (16) Journal Article (14) Book Chapter (2)

1 - 16 of 16 works

2022

Journal Article

On deep-fake stock prices and why investor behavior might not matter

Vâlsan, Călin, Druică, Elena and Eisenstat, Eric (2022). On deep-fake stock prices and why investor behavior might not matter. Algorithms, 15 (12) 475, 1-19. doi: 10.3390/a15120475

On deep-fake stock prices and why investor behavior might not matter

2022

Journal Article

Choosing between identification schemes in noisy-news models

Chan, Joshua C. C., Eisenstat, Eric and Koop, Gary (2022). Choosing between identification schemes in noisy-news models. Studies in Nonlinear Dynamics and Econometrics, 26 (1), 99-136. doi: 10.1515/snde-2020-0016

Choosing between identification schemes in noisy-news models

2020

Journal Article

Composite likelihood methods for large Bayesian VARs with stochastic volatility

Chan, Joshua C. C., Eisenstat, Eric, Hou, Chenghan and Koop, Gary (2020). Composite likelihood methods for large Bayesian VARs with stochastic volatility. Journal of Applied Econometrics, 35 (6), 692-711. doi: 10.1002/jae.2793

Composite likelihood methods for large Bayesian VARs with stochastic volatility

2020

Journal Article

Reducing the state space dimension in a large TVP-VAR

Chan, Joshua C.C., Eisenstat, Eric and Strachan, Rodney W. (2020). Reducing the state space dimension in a large TVP-VAR. Journal of Econometrics, 218 (1), 105-118. doi: 10.1016/j.jeconom.2019.11.006

Reducing the state space dimension in a large TVP-VAR

2019

Journal Article

Identifying noise shocks

Benati, Luca, Chan, Joshua, Eisenstat, Eric and Koop, Gary (2019). Identifying noise shocks. Journal of Economic Dynamics and Control, 111 103780, 103780. doi: 10.1016/j.jedc.2019.103780

Identifying noise shocks

2018

Journal Article

Comparing hybrid time-varying parameter VARs

Chan, Joshua C.C. and Eisenstat, Eric (2018). Comparing hybrid time-varying parameter VARs. Economics Letters, 171, 1-5. doi: 10.1016/j.econlet.2018.06.031

Comparing hybrid time-varying parameter VARs

2018

Journal Article

Bayesian model comparison for time‐varying parameter VARs with stochastic volatility

Chan, Joshua C. C. and Eisenstat, Eric (2018). Bayesian model comparison for time‐varying parameter VARs with stochastic volatility. Journal of Applied Econometrics, 33 (4), 509-532. doi: 10.1002/jae.2617

Bayesian model comparison for time‐varying parameter VARs with stochastic volatility

2017

Journal Article

Efficient estimation of Bayesian VARMAs with time-varying coefficients

Chan, Joshua C. C. and Eisenstat, Eric (2017). Efficient estimation of Bayesian VARMAs with time-varying coefficients. Journal of Applied Econometrics, 32 (7), 1277-1297. doi: 10.1002/jae.2576

Efficient estimation of Bayesian VARMAs with time-varying coefficients

2016

Journal Article

Large Bayesian VARMAs

Chan, Joshua C.C., Eisenstat, Eric and Koop, Gary (2016). Large Bayesian VARMAs. Journal of Econometrics, 192 (2), 374-390. doi: 10.1016/j.jeconom.2016.02.005

Large Bayesian VARMAs

2016

Journal Article

Stochastic model specification search for time-varying parameter VARs

Eisenstat, Eric, Chan, Joshua C. C. and Strachan, Rodney W. (2016). Stochastic model specification search for time-varying parameter VARs. Econometric Reviews, 35 (8-10), 1-28. doi: 10.1080/07474938.2015.1092808

Stochastic model specification search for time-varying parameter VARs

2015

Journal Article

Modelling inflation volatility

Eisenstat, Eric and Strachan, Rodney W. (2015). Modelling inflation volatility. Journal of Applied Econometrics, 31 (5), 805-820. doi: 10.1002/jae.2469

Modelling inflation volatility

2015

Journal Article

Marginal likelihood estimation with the cross-entropy method

Chan, Joshua C. C. and Eisenstat, Eric (2015). Marginal likelihood estimation with the cross-entropy method. Econometric Reviews, 34 (3), 256-285. doi: 10.1080/07474938.2014.944474

Marginal likelihood estimation with the cross-entropy method

2014

Book Chapter

Stochastic search for price insensitive consumers

Eisenstat, Eric (2014). Stochastic search for price insensitive consumers. Bayesian inference in the social sciences. (pp. 219-241) edited by Ivan Jeliazkov and Xin‐She Yang. Hoboken, NJ, United States: John Wiley & Sons. doi: 10.1002/9781118771051.ch9

Stochastic search for price insensitive consumers

2014

Book Chapter

Stochastic search for price insensitive consumers

Eisenstat, Eric (2014). Stochastic search for price insensitive consumers. Bayesian inference in the social sciences. (pp. 227-248) edited by Ivan Jeliazkov and Xin-She Yang. New York, NY: John Wiley & Sons.

Stochastic search for price insensitive consumers

2013

Journal Article

Behavioural model uncertainty in estimation of structural oligopoly models

Eisenstat, Eric (2013). Behavioural model uncertainty in estimation of structural oligopoly models. International Journal of Mathematical Modelling and Numerical Optimisation, 4 (3), 252-281. doi: 10.1504/IJMMNO.2013.056540

Behavioural model uncertainty in estimation of structural oligopoly models

2010

Journal Article

A comment on "a review of student test properties in condition of multifactorial linear regression"

Eisenstat, Eric (2010). A comment on "a review of student test properties in condition of multifactorial linear regression". Romanian Journal of Economic Forecasting, 13 (3)

A comment on "a review of student test properties in condition of multifactorial linear regression"

Current funding

  • 2024 - 2026
    Closing the Gap Between Theory and Data in Macroeconometrics
    ARC Discovery Projects
    Open grant
  • 2018 - 2024
    Large dynamic time-varying models for structural macroeconomic inference
    ARC Discovery Projects
    Open grant

Availability

Dr Eric Eisenstat is:
Available for supervision

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Supervision history

Current supervision

  • Master Philosophy

    Redistributional Effect of Monetary Shock under the Perspective of Liquidity Friction

    Associate Advisor

    Other advisors: Professor Rodney Strachan

Completed supervision

Enquiries

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