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Siddhartha Chib - Publications

Affiliations: 
Washington University, Saint Louis, St. Louis, MO 
Area:
General Economics, Finance, Statistics
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61 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Chib S, Zeng X, Zhao L. On Comparing Asset Pricing Models Journal of Finance. 75: 551-577. DOI: 10.1111/Jofi.12854  0.544
2018 Chib S, Shin M, Simoni A. Bayesian Estimation and Comparison of Moment Condition Models Journal of the American Statistical Association. 113: 1656-1668. DOI: 10.1080/01621459.2017.1358172  0.61
2014 Chib S, Ramamurthy S. DSGE Models with Student-t Errors Econometric Reviews. 33: 152-171. DOI: 10.1080/07474938.2013.807152  0.481
2013 Chib S, Kang KH. Change-Points in Affine Arbitrage-Free Term Structure Models Journal of Financial Econometrics. 11: 302-334. DOI: 10.1093/Jjfinec/Nbs004  0.352
2013 Chib S, Greenberg E. On conditional variance estimation in nonparametric regression Statistics and Computing. 23: 261-270. DOI: 10.1007/S11222-011-9307-3  0.605
2010 Chib S, Greenberg E. Additive cubic spline regression with Dirichlet process mixture errors Journal of Econometrics. 156: 322-336. DOI: 10.1016/J.Jeconom.2009.11.002  0.576
2010 Chib S, Ramamurthy S. Tailored randomized block MCMC methods with application to DSGE models Journal of Econometrics. 155: 19-38. DOI: 10.1016/J.Jeconom.2009.08.003  0.558
2009 Chib S, Ergashev B. Analysis of Multifactor Affine Yield Curve Models Journal of the American Statistical Association. 104: 1324-1337. DOI: 10.2139/Ssrn.1285060  0.442
2009 Chib S, Greenberg E, Jeliazkov I. Estimation of Semiparametric Models in the Presence of Endogeneity and Sample Selection Journal of Computational and Graphical Statistics. 18: 321-348. DOI: 10.1198/Jcgs.2009.07070  0.777
2009 Chib S, Omori Y, Asai M. Multivariate stochastic volatility Cirje F-Series. 365-400. DOI: 10.1007/978-3-540-71297-8_16  0.537
2008 Baranchuk N, Chib S. Assessing the role of option grants to CEOs: How important is heterogeneity? Journal of Empirical Finance. 15: 145-166. DOI: 10.1016/J.Jempfin.2006.10.004  0.746
2008 Chib S, Jacobi L. Analysis of Treatment Response Data From Eligibility Designs Journal of Econometrics. 144: 465-478. DOI: 10.1016/J.Jeconom.2008.04.010  0.493
2007 Chib S, Greenberg E. Semiparametric modeling and estimation of instrumental variable models Journal of Computational and Graphical Statistics. 16: 86-114. DOI: 10.1198/106186007X180723  0.569
2007 Chib S, Jacobi L. Modeling and calculating the effect of treatment at baseline from panel outcomes. Journal of Econometrics. 140: 781-801. DOI: 10.1016/J.Jeconom.2006.07.014  0.568
2007 Chib S. Analysis of treatment response data without the joint distribution of potential outcomes Journal of Econometrics. 140: 401-412. DOI: 10.1016/J.Jeconom.2006.07.009  0.47
2007 Omori Y, Chib S, Shephard N, Nakajima J. Stochastic volatility with leverage: Fast and efficient likelihood inference Journal of Econometrics. 140: 425-449. DOI: 10.1016/J.Jeconom.2006.07.008  0.534
2006 Chib S, Jeliazkov I. Inference in Semiparametric Dynamic Models for Binary Longitudinal Data Journal of the American Statistical Association. 101: 685-700. DOI: 10.1198/016214505000000871  0.783
2006 Chib S, Nardari F, Shephard N. Analysis of high dimensional multivariate stochastic volatility models Journal of Econometrics. 134: 341-371. DOI: 10.1016/J.Jeconom.2005.06.026  0.625
2005 Tiwari RC, Cronin KA, Davis W, Feuer EJ, Yu B, Chib S. Bayesian model selection for join point regression with application to age-adjusted cancer rates Journal of the Royal Statistical Society. Series C: Applied Statistics. 54: 919-939. DOI: 10.1111/J.1467-9876.2005.00518.X  0.468
2005 Chib S, Jeliazkov I. Accept-reject Metropolis-Hastings sampling and marginal likelihood estimation Statistica Neerlandica. 59: 30-44. DOI: 10.1111/J.1467-9574.2005.00277.X  0.782
2005 Chib S. Modeling and Analysis for Categorical Response Data Handbook of Statistics. 25: 835-867. DOI: 10.1016/S0169-7161(05)25029-0  0.56
2005 Seetharaman PB, Chib S, Ainslie A, Boatwright P, Chan T, Gupta S, Mehta N, Rao V, Strijnev A. Models of Multi-Category Choice Behavior Marketing Letters. 16: 239-254. DOI: 10.1007/S11002-005-5888-Y  0.488
2004 Chib S, Seetharaman PB, Strijnev A. Model of Brand Choice with a No-Purchase Option Calibrated to Scanner-Panel Data Journal of Marketing Research. 41: 184-196. DOI: 10.1509/Jmkr.41.2.184.28674  0.499
2003 Basu S, Chib S. Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models Journal of the American Statistical Association. 98: 224-235. DOI: 10.1198/01621450338861947  0.652
2002 Chib S, Hamilton BH. Semiparametric Bayes analysis of longitudinal data treatment models Journal of Econometrics. 110: 67-89. DOI: 10.1016/S0304-4076(02)00122-7  0.466
2002 Chib S, Nardari F, Shephard N. Markov chain Monte Carlo methods for stochastic volatility models Journal of Econometrics. 108: 281-316. DOI: 10.1016/S0304-4076(01)00137-3  0.575
2001 Albert JH, Chib S. Sequential ordinal modeling with applications to survival data. Biometrics. 57: 829-36. PMID 11550934 DOI: 10.1111/J.0006-341X.2001.00829.X  0.585
2001 Chib S, Winkelmann R. Markov Chain Monte Carlo Analysis of Correlated Count Data Journal of Business & Economic Statistics. 19: 428-435. DOI: 10.1198/07350010152596673  0.569
2001 Chib S, Jeliazkov I. Marginal Likelihood From the Metropolis–Hastings Output Journal of the American Statistical Association. 96: 270-281. DOI: 10.1198/016214501750332848  0.784
2001 Elerian O, Chib S, Shephard N. Likelihood inference for discretely observed nonlinear diffusions Econometrica. 69: 959-993. DOI: 10.1111/1468-0262.00226  0.549
2001 Chib S. Markov Chain Monte Carlo Methods: Computation And Inference Handbook of Econometrics. 5: 3569-3649. DOI: 10.1016/S1573-4412(01)05010-3  0.499
2000 Chib S, Hamilton BH. Bayesian analysis of cross-section and clustered data treatment models Journal of Econometrics. 97: 25-50. DOI: 10.1016/S0304-4076(99)00065-2  0.487
1999 Chib S, Carlin BP. On MCMC sampling in hierarchical longitudinal models Statistics and Computing. 9: 17-26. DOI: 10.1023/A:1008853808677  0.58
1998 Kim S, Shephard N, Chib S. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models Review of Economic Studies. 65: 361-393. DOI: 10.1111/1467-937X.00050  0.622
1998 Chib S, Greenberg E. Analysis of Multivariate Probit Models Biometrika. 85: 347-361. DOI: 10.1093/Biomet/85.2.347  0.548
1998 Chiang J, Chib S, Narasimhan C. Markov chain Monte Carlo and models of consideration set and parameter heterogeneity Journal of Econometrics. 89: 223-248. DOI: 10.1016/S0304-4076(98)00062-1  0.506
1998 Chib S. Estimation and comparison of multiple change-point models Journal of Econometrics. 86: 221-241. DOI: 10.1016/S0304-4076(97)00115-2  0.532
1998 Chib S, Greenberg E, Winkelmann R. Posterior Simulation and Bayes Factors in Panel Count Data Models Journal of Econometrics. 86: 33-54. DOI: 10.1016/S0304-4076(97)00108-5  0.607
1997 Albert J, Chib S. Bayesian Tests and Model Diagnostics in Conditionally Independent Hierarchical Models Journal of the American Statistical Association. 92: 916-925. DOI: 10.1080/01621459.1997.10474046  0.504
1996 Chib S, Greenberg E. Markov Chain Monte Carlo Simulation Methods in Econometrics Econometric Theory. 12: 409-431. DOI: 10.1017/S0266466600006794  0.502
1996 Chib S. Calculating posterior distributions and modal estimates in Markov mixture models Journal of Econometrics. 75: 79-97. DOI: 10.1016/0304-4076(95)01770-4  0.611
1995 Carlin BP, Chib S. Bayesian Model Choice Via Markov Chain Monte Carlo Methods Journal of the Royal Statistical Society: Series B (Methodological). 57: 473-484. DOI: 10.1111/J.2517-6161.1995.Tb02042.X  0.59
1995 Albert J, Chib S. Bayesian residual analysis for binary response regression models Biometrika. 82: 747-769. DOI: 10.1093/Biomet/82.4.747  0.484
1995 Chib S. Marginal Likelihood from the Gibbs Output Journal of the American Statistical Association. 90: 1313-1321. DOI: 10.1080/01621459.1995.10476635  0.524
1995 Chib S, Greenberg E. Understanding the metropolis-hastings algorithm American Statistician. 49: 327-335. DOI: 10.1080/00031305.1995.10476177  0.379
1995 Chib S, Greenberg E. Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models Journal of Econometrics. 68: 339-360. DOI: 10.1016/0304-4076(94)01653-H  0.624
1994 Chib S, Greenberg E. Bayes inference in regression models with ARMA (p, q) errors Journal of Econometrics. 64: 183-206. DOI: 10.1016/0304-4076(94)90063-9  0.539
1994 Chib S, Tiwari RC. Outlier detection in the state space model Statistics & Probability Letters. 20: 143-148. DOI: 10.1016/0167-7152(94)90030-2  0.443
1993 Albert JH, Chib S. Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts Journal of Business & Economic Statistics. 11: 1-15. DOI: 10.1080/07350015.1993.10509929  0.448
1993 Albert JH, Chib S. Bayesian analysis of binary and polychotomous response data Journal of the American Statistical Association. 88: 669-679. DOI: 10.1080/01621459.1993.10476321  0.577
1993 Chib S. Bayes regression with autoregressive errors : A Gibbs sampling approach Journal of Econometrics. 58: 275-294. DOI: 10.1016/0304-4076(93)90046-8  0.493
1992 Chib S. Bayes inference in the Tobit censored regression model Journal of Econometrics. 51: 79-99. DOI: 10.1016/0304-4076(92)90030-U  0.586
1991 Chib S, Tiwari RC. Robust bayes analysis in normal linear regression with an improper mixture prior Communications in Statistics-Theory and Methods. 20: 807-829. DOI: 10.1080/03610929108830532  0.469
1991 Chib S, Tiwari RC. Extreme Bounds Analysis in the Kalman Filter The American Statistician. 45: 113-114. DOI: 10.1080/00031305.1991.10475780  0.345
1989 Tiwari RC, Chib S, Jammalamadaka SR. Bayes estimation of the multiple correlation coefficient Communications in Statistics - Theory and Methods. 18: 1401-1413. DOI: 10.1080/03610928908829974  0.392
1989 Cooley TF, Parke WR, Chib S. Predictive Efficiency For Simple Non-Linear Models* Journal of Econometrics. 40: 33-44. DOI: 10.1016/0304-4076(89)90028-6  0.329
1988 Chib S, Tiwari RC, Jammalamadaka SR. Bayes prediction in regressions with elliptical errors Journal of Econometrics. 38: 349-360. DOI: 10.1016/0304-4076(88)90050-4  0.409
1988 Tiwari RC, Jammalamadaka SR, Chib S. Bayes prediction density and regression estimation - A semiparametric approach Empirical Economics. 13: 209-222. DOI: 10.1007/Bf01972449  0.366
1987 Chib S, Jammalamadaka SR, Tiwari RC. Another Look at Some Results on the Recursive Estimation in the General Linear Model The American Statistician. 41: 56-58. DOI: 10.2307/2684322  0.537
1987 Chib S, Jammalamadaka SR, Tiwari RC. A new definition of the predictive likelihood Statistics and Probability Letters. 5: 113-118. DOI: 10.1016/0167-7152(87)90065-4  0.331
1987 Jammalamadaka SR, Tiwari RC, Chib S. Bayes prediction in the linear model with spherically symmetric errors Economics Letters. 24: 39-44. DOI: 10.1016/0165-1765(87)90178-9  0.334
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