Harry C. Hartkopf Professor of Econometrics and Statistics
Olin Business School
Washington University in St. Louis
Campus Box 1133, 1 Brookings Dr.
St. Louis, MO 63130, USA
office: 229 Simon Hall
phone: (314) 935-4657
fax: (314) 935-6359
Research and Teaching
Professor Chib works in Bayesian statistics and inference based on Markov chain Monte Carlo methods.
His work, which deals with many important topics, is highly influential in Bayesian statistics.
Some of this work includes
One current area of research is non-parametric Bayesian analysis of regression
- inferential approach, based on latent variables, for estimating
models with binary, categorical, ordinal and censored outcomes, developed in
Albert and Chib (1993). Extensions in Chib (1992),
Albert and Chib (1995), Chib and Greenberg (1998),
Albert and Chib (2001)
- derivation, exposition and tuning of the Metropolis-Hastings algorithm,
developed in Chib and Greenberg (1995). Extensions in Chib and Greenberg (1996),
Chib (2001), Chib and Ramamurthy (2010)
- method for calculating the marginal likelihood from the
MCMC output, developed in Chib (1995). Extensions in
Chib and Jeliazkov (2001), Basu and Chib (2003),
Chib and Jeliazkov (2005)
- batch and particle filtering methods for stochastic volatility models,
developed in Kim, Shephard and Chib (1998). Extensions in Chib,
Nardari and Shephard (2002, 2006), and Omori, Chib, Nakajima and Shephard (2007)
- method for calculating Bayes factors from a joint simulation
over parameters and models, developed in Carlin and Chib (1995)
- estimation method for hidden Markov models and multiple change models,
developed in Albert and Chib (1993), Chib (1996), and Chib (1998)
- estimation method for AR, ARMA and hierarchial time-varying parameter models,
developed in Chib (1993), Chib and Greenberg (1994, 1995)
- estimation method for discretely observed diffusions,
developed in Elerian, Chib and Shephard (2001)
- estimation methods for longitudinal models, developed
in Chib and Carlin (1998). Extensions in Chib, Greenberg and Winkelmann (1998),
Chib and Jeliazkov (2006)
- estimation method for correlated count outcomes, developed in
Chib and Winkelmann (2001)
- flexible and non-parametric causal inference in cross-sectional and
longitudinal settings, developed in Chib and Hamilton (2000, 2002), Chib (2007).
Extensions in Chib and Jacobi (2007, 2008), Chib, Greenberg and Jeliazkov (2009)
- efficient inference in term structure and DSGE models,
developed in Chib and Ergashev (2009), Chib and Ramamurthy (2010).
- nonparametric estimation with splines, dirchlet process mixtures and heteroskesaticity,
developed in Chib and Greenberg (2010, 2013).
Professor Chib is a Fellow of the American Statistical Association. He serves
as an Associate Editor of the Journal of the American Statistical Association,
Journal of Computational and Graphical Statistics, and Statistics
and Computing. He also directs the annual NBER-NSF sponsored Seminar in Bayesian
Econometrics and Statistics (SBIES), which features presentations by young and established researchers
working on the theory and application of Bayesian methods.
He teaches statistics and econometrics to students in the MBA, specialized MS,
and doctoral programs.
Selected publications | Working papers |
Editorial affiliations | Honors |