Tauchen is an internationally known time series econometrician. He has developed several important new techniques for making statistical inference from time series data and for testing models of financial markets. Much of his recent research has focused on simulation-based techniques for econometrics, and in particular on the Efficient Method of Moments (EMM), developed jointly with A. R. Gallant of the Fuqua School of Business.

Professor Tauchen regularly gives research seminars at major U.S. research universities and at international meetings, conferences, and research institutes. He was Visiting Fellow at the Australian National University, and he gave one of the major invited addresses at the Seventh World Congress of the Econometric Society in Tokyo, Japan. He has lectured in such diverse places as Taipei, Santiago de Chile, London, Paris, Vienna, Helsinki, and Tokyo.

He is former Editor of the Journal of Business and Economic Statistics (JBES) and former associate editor of Econometrica, Econometric Theory, The Journal of the American Statistical Association, and JBES.