Details about Siddhartha Chib

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Workplace:	Olin School of Business, Washington University in St. Louis, (more information at EDIRC)

Access statistics for papers by Siddhartha Chib.

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Short-id: pch2349

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Working Papers

2026

1. Potential Outcome Modeling and Estimation in DiD Designs with Staggered Treatments
   Papers, arXiv.org
2. Testing for Endogeneity: A Moment-Based Bayesian Approach
   Papers, arXiv.org
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2024) View citations (1)

2025

3. Learning the Macroeconomic Language
   Papers, arXiv.org
4. Scalable Estimation of Multinomial Response Models with Random Consideration Sets
   Papers, arXiv.org View citations (2)

2024

5. Factor Selection and Structural Breaks
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
6. Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler
   Papers, arXiv.org

2022

7. Bayesian Estimation and Comparison of Conditional Moment Models
   Post-Print, HAL View citations (1)
   Also in Papers, arXiv.org (2021)
   Working Papers, Federal Reserve Bank of Philadelphia (2019) View citations (3)
   See also Journal Article Bayesian estimation and comparison of conditional moment models, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2022) View citations (1) (2022)
8. NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS
   Post-Print, HAL
   See also Journal Article NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS, Econometric Theory, Cambridge University Press (2023) View citations (2) (2023)

2021

9. DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors
   Working Papers, Federal Reserve Bank of Philadelphia View citations (4)
   See also Journal Article DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors, Computational Economics, Springer (2023) View citations (1) (2023)

2020

10. High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗
    Working Papers, Federal Reserve Bank of Philadelphia

2018

11. Bayesian Estimation and Comparison of Moment Condition Models
    Post-Print, HAL View citations (22)
    See also Journal Article Bayesian Estimation and Comparison of Moment Condition Models, Journal of the American Statistical Association, Taylor & Francis Journals (2018) View citations (26) (2018)

2016

12. Bayesian Empirical Likelihood Estimation and Comparison of Moment Condition Models
    Working Papers, Center for Research in Economics and Statistics View citations (1)

2011

13. Returns to Compulsory Schooling in Britain: Evidence from a Bayesian Fuzzy Regression Discontinuity Analysis
    IZA Discussion Papers, IZA Network @ LISER View citations (1)

2007

14. Multivariate stochastic volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (15)
    See also Chapter Multivariate Stochastic Volatility, Springer Books, Springer (2009) View citations (1) (2009)
15. Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

2005

16. Structural Breaks in Estimated DSGE Models with Indeterminacy
    Computing in Economics and Finance 2005, Society for Computational Economics

2004

17. Likelihood based inference for diffusion driven models
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (11)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2004) View citations (11)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (11)
18. Markov Chain Monte Carlo Technology
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)
19. Non-Markovian regime switching with endogenous states and time-varying state strengths
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)
20. Stochastic Volatility with Leverage: Fast Likelihood Inference
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (4)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (7)
    Economics Series Working Papers, University of Oxford, Department of Economics (2004) View citations (3)
21. Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

2001

22. Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)

2000

23. Likelihood inference for discretely observed non-linear diffusions
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (3)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (1998) View citations (127)
    See also Journal Article Likelihood Inference for Discretely Observed Nonlinear Diffusions, Econometrica, Econometric Society (2001) View citations (108) (2001)

1999

24. Windows Software for Bayesian MCMC Computations
    Computing in Economics and Finance 1999, Society for Computational Economics

1998

25. MCMC Methods for Fitting and Comparing Multinomial Response Models
    Econometrics, University Library of Munich, Germany View citations (11)

1996

26. Bayesian Analysis of Multivariate Probit Models
    Econometrics, University Library of Munich, Germany View citations (1)
27. Posterior Simulation and Bayes Factors in Panel Count Data Models
    Econometrics, University Library of Munich, Germany
    See also Journal Article Posterior simulation and Bayes factors in panel count data models, Journal of Econometrics, Elsevier (1998) View citations (34) (1998)
28. STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS
    Econometrics, University Library of Munich, Germany View citations (14)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (17)
    See also Journal Article Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models, The Review of Economic Studies, Review of Economic Studies Ltd (1998) View citations (1323) (1998)

1995

29. Markov Chain Monte Carlo Simulation Methods in Econometrics
    Econometrics, University Library of Munich, Germany View citations (6)
    See also Journal Article Markov Chain Monte Carlo Simulation Methods in Econometrics, Econometric Theory, Cambridge University Press (1996) View citations (229) (1996)

1992

30. Posterior inference on the degrees of freedom parameter in multivariate-t regression models
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1990)
    Discussion Paper, Tilburg University, Center for Economic Research (1990)
    Working Papers, Tilburg - Center for Economic Research (1990)

1991

31. A Bayesian note on competing correlation structures in the dynamic linear regression model
    Discussion Paper, Tilburg University, Center for Economic Research
    Also in Working Papers, Tilburg - Center for Economic Research (1991)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1991)

1990

32. Regression models under competing covariance matrices: A Bayesian perspective
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (1)

Undated

33. Bayesian Analysis of Multivariate Count Data
    Department of Economics Discussion Papers, University of Canterbury - New Zealand
34. Posterior Simulation and Model Choice in Longitudinal Generalized Linear Models
    Department of Economics Discussion Papers, University of Canterbury - New Zealand

Journal Articles

2024

1. Winners from Winners: A Tale of Risk Factors
   Management Science, 2024, 70, (1), 396-414 View citations (2)

2023

2. DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors
   Computational Economics, 2023, 61, (1), 69-111 View citations (1)
   See also Working Paper DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors, Working Papers (2021) View citations (4) (2021)
3. NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS
   Econometric Theory, 2023, 39, (3), 481-533 View citations (2)
   See also Working Paper NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS, Post-Print (2022) (2022)

2022

4. Bayesian estimation and comparison of conditional moment models
   Journal of the Royal Statistical Society Series B, 2022, 84, (3), 740-764 View citations (1)
   See also Working Paper Bayesian Estimation and Comparison of Conditional Moment Models, Post-Print (2022) View citations (1) (2022)

2020

5. On Comparing Asset Pricing Models
   Journal of Finance, 2020, 75, (1), 551-577 View citations (24)
6. Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework
   Journal of Business & Economic Statistics, 2020, 38, (4), 771-783 View citations (10)

2018

7. Bayesian Estimation and Comparison of Moment Condition Models
   Journal of the American Statistical Association, 2018, 113, (524), 1656-1668 View citations (26)
   See also Working Paper Bayesian Estimation and Comparison of Moment Condition Models, Post-Print (2018) View citations (22) (2018)

2016

8. Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Schooling
   Journal of Applied Econometrics, 2016, 31, (6), 1026-1047 View citations (10)

2014

9. DSGE Models with Student- t Errors
   Econometric Reviews, 2014, 33, (1-4), 152-171 View citations (49)

2013

10. Change-Points in Affine Arbitrage-Free Term Structure Models
    Journal of Financial Econometrics, 2013, 11, (2), 302-334 View citations (11)

2010

11. Additive cubic spline regression with Dirichlet process mixture errors
    Journal of Econometrics, 2010, 156, (2), 322-336 View citations (20)
12. Tailored randomized block MCMC methods with application to DSGE models
    Journal of Econometrics, 2010, 155, (1), 19-38 View citations (107)

2009

13. Analysis of Multifactor Affine Yield Curve Models
    Journal of the American Statistical Association, 2009, 104, (488), 1324-1337 View citations (44)

2008

14. Analysis of treatment response data from eligibility designs
    Journal of Econometrics, 2008, 144, (2), 465-478 View citations (3)
15. Assessing the role of option grants to CEOs: How important is heterogeneity?
    Journal of Empirical Finance, 2008, 15, (2), 145-166 View citations (4)

2007

16. Analysis of treatment response data without the joint distribution of potential outcomes
    Journal of Econometrics, 2007, 140, (2), 401-412 View citations (31)
17. Modeling and calculating the effect of treatment at baseline from panel outcomes
    Journal of Econometrics, 2007, 140, (2), 781-801 View citations (9)
18. Stochastic volatility with leverage: Fast and efficient likelihood inference
    Journal of Econometrics, 2007, 140, (2), 425-449 View citations (316)

2006

19. Analysis of high dimensional multivariate stochastic volatility models
    Journal of Econometrics, 2006, 134, (2), 341-371 View citations (177)
20. Inference in Semiparametric Dynamic Models for Binary Longitudinal Data
    Journal of the American Statistical Association, 2006, 101, 685-700 View citations (27)

2005

21. Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation
    Statistica Neerlandica, 2005, 59, (1), 30-44 View citations (19)
22. Bayesian model selection for join point regression with application to age‐adjusted cancer rates
    Journal of the Royal Statistical Society Series C, 2005, 54, (5), 919-939 View citations (9)
23. Models of Multi-Category Choice Behavior
    Marketing Letters, 2005, 16, (3), 239-254 View citations (42)

2003

24. Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models
    Journal of the American Statistical Association, 2003, 98, 224-235 View citations (32)

2002

25. Markov chain Monte Carlo methods for stochastic volatility models
    Journal of Econometrics, 2002, 108, (2), 281-316 View citations (287)
26. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 325-27 View citations (2)
27. Semiparametric Bayes analysis of longitudinal data treatment models
    Journal of Econometrics, 2002, 110, (1), 67-89 View citations (64)

2001

28. Likelihood Inference for Discretely Observed Nonlinear Diffusions
    Econometrica, 2001, 69, (4), 959-93 View citations (108)
    See also Working Paper Likelihood inference for discretely observed non-linear diffusions, OFRC Working Papers Series (2000) View citations (3) (2000)
29. Marginal Likelihood From the Metropolis-Hastings Output
    Journal of the American Statistical Association, 2001, 96, 270-281 View citations (316)
30. Markov Chain Monte Carlo Analysis of Correlated Count Data
    Journal of Business & Economic Statistics, 2001, 19, (4), 428-35 View citations (73)
31. Sequential Ordinal Modeling with Applications to Survival Data
    Biometrics, 2001, 57, (3), 829-836 View citations (24)

2000

32. Bayesian analysis of cross-section and clustered data treatment models
    Journal of Econometrics, 2000, 97, (1), 25-50 View citations (40)

1998

33. Estimation and comparison of multiple change-point models
    Journal of Econometrics, 1998, 86, (2), 221-241 View citations (272)
34. Markov chain Monte Carlo and models of consideration set and parameter heterogeneity
    Journal of Econometrics, 1998, 89, (1-2), 223-248 View citations (42)
35. Posterior simulation and Bayes factors in panel count data models
    Journal of Econometrics, 1998, 86, (1), 33-54 View citations (34)
    See also Working Paper Posterior Simulation and Bayes Factors in Panel Count Data Models, Econometrics (1996) (1996)
36. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
    The Review of Economic Studies, 1998, 65, (3), 361-393 View citations (1323)
    See also Working Paper STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS, Econometrics (1996) View citations (14) (1996)

1996

37. Calculating posterior distributions and modal estimates in Markov mixture models
    Journal of Econometrics, 1996, 75, (1), 79-97 View citations (320)
38. Markov Chain Monte Carlo Simulation Methods in Econometrics
    Econometric Theory, 1996, 12, (3), 409-431 View citations (229)
    See also Working Paper Markov Chain Monte Carlo Simulation Methods in Econometrics, Econometrics (1995) View citations (6) (1995)

1995

39. Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
    Journal of Econometrics, 1995, 68, (2), 339-360 View citations (132)

1994

40. Bayes inference in regression models with ARMA (p, q) errors
    Journal of Econometrics, 1994, 64, (1-2), 183-206 View citations (198)
41. Outlier detection in the state space model
    Statistics & Probability Letters, 1994, 20, (2), 143-148

1993

42. Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts
    Journal of Business & Economic Statistics, 1993, 11, (1), 1-15 View citations (258)
43. Bayes regression with autoregressive errors: A Gibbs sampling approach
    Journal of Econometrics, 1993, 58, (3), 275-294 View citations (62)

1992

44. Bayes inference in the Tobit censored regression model
    Journal of Econometrics, 1992, 51, (1-2), 79-99 View citations (126)

1989

45. Predictive efficiency for simple non-linear models
    Journal of Econometrics, 1989, 40, (1), 33-44

1988

46. Bayes Prediction Density and Regression Estimation--A Semiparametric Approach
    Empirical Economics, 1988, 13, (3/4), 209-22 View citations (8)
47. Bayes prediction in regressions with elliptical errors
    Journal of Econometrics, 1988, 38, (3), 349-360 View citations (16)

1987

48. A new definition of the predictive likelihood
    Statistics & Probability Letters, 1987, 5, (2), 113-118
49. Bayes prediction in the linear model with spherically symmetric errors
    Economics Letters, 1987, 24, (1), 39-44 View citations (5)

1985

50. Equity premium in a production economy: A parametric example
    Economics Letters, 1985, 18, (1), 53-58 View citations (1)

Chapters

2009

1. Multivariate Stochastic Volatility
   Springer View citations (1)
   See also Working Paper Multivariate stochastic volatility, CIRJE, Faculty of Economics, University of Tokyo (2007) View citations (15) (2007)
2. Stochastic Volatility Models with Long Memory
   Springer

2008

3. Causal effects from panel data in randomized experiments with partial compliance
   A chapter in Bayesian Econometrics, 2008, pp 183-215

2001

4. Markov chain Monte Carlo methods: computation and inference
   Chapter 57 in Handbook of Econometrics, 2001, vol. 5, pp 3569-3649 View citations (268)