Papers listed here are available from the journal websites and various repositories. For ready access for research purposes, some papers can also be downloaded here, though copyright remains with the journal.

2024

• Winners from Winners: A Tale of Risk Factors, by Siddhartha Chib, Lingxiao Zhao, and Guofu Zhou, Management Science, (2024), 70, 396-414.

2023

• Nonparametric Bayes Analysis of the Sharp and Fuzzy Regression Discontinuity Designs, by Siddhartha Chib, Edward Greenberg, and Anna Simoni, Econometric Theory, (2023), 39, 481-533.
• DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors, by Siddhartha Chib, Minchul Shin, and Fei Tan, Computational Economics, (2023), 61, 69-111.

2022

• Bayesian Estimation and Comparison of Conditional Moment Models, by Siddhartha Chib, Minchul Shin, and Anna Simoni, Journal of the Royal Statistical Society: Series B, (2022), 84, 740-764.

2020

• On Comparing Asset Pricing Models, by Siddhartha Chib, Xiaming Zeng, and Lingxiao Zhao, Journal of Finance, (2020), 75, 551-577.


• Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework, by Siddhartha Chib and Xiaming Zeng, Journal of Business and Economics Statistics, (2020), 38, 771-783.

2019

• Semiparametric Multivariate and Multiple Change-Point Modelling, by Stefano Peluso, Siddhartha Chib, and Antonietta Mira, Bayesian Analysis, (2019), 14, 727-751.

2018

• Bayesian Estimation and Comparison of Moment Condition Models, by Siddhartha Chib, Minchul Shin, and Anna Simoni, Journal of the American Statistical Association, (2018), 113, 1656-1668.

2016

• Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Schooling, by Siddhartha Chib and Liana Jacobi, Journal of Applied Econometrics, (2016), 31, 1026-1047.

2014

• DSGE Models with Student-t Errors, by Siddhartha Chib and Srikanth Ramamurthy, Econometric Reviews, (2014), 33, 152-171.

2013

• Change Points in Affine Arbitrage-free Term Structure Models, by Siddhartha Chib and Kyu Ho Kang, Journal of Financial Econometrics, (2013), 11, 302-334.


• On Conditional Variance Estimation in Nonparametric Regression, by Siddhartha Chib and Edward Greenberg, Statistics and Computing, (2013), 23, 261-270.

2011

• Introduction to Simulation and MCMC Methods, by Siddhartha Chib, The Oxford Handbook of Econometrics (eds J Geweke, G. Koop, H. van Dijk), Oxford University Press, (2011), 183-217.


• Markov Chain Monte Carlo, by Siddhartha Chib International Encyclopedia of Statistical Science (ed Miodrag Lovric), Springer-Verlag, (2011), 769-772.

2010

• Additive Cubic Spline Regression with Dirichlet Process Mixture Errors, by Siddhartha Chib and Edward Greenberg, Journal of Econometrics, (2010), 156, 322-336.


• Tailored Randomized-block MCMC Methods with Application to DSGE Models, by Siddhartha Chib and Srikanth Ramamurthy Journal of Econometrics, (2010), 155, 19-38.

2009

• Analysis of Multi-Factor Affine Yield Curve Models, by Siddhartha Chib and Bakhodir Ergashev, Journal of the American Statistical Association, (2009), 104, 1324-1337.


• Estimation of Semiparametric Models in the Presence of Endogeneity and Sample Selection, by Siddhartha Chib, Edward Greenberg, and Ivan Jeliazkov, Journal of Computational and Graphical Statistics, (2009), 18, 321-348.


• Multivariate Stochastic Volatility, by Siddhartha Chib, Yasuhiro Omori, and Manabu Asai, Handbook of Financial Time Series, Springer-Verlag, (2019), 365-400.

2008

• Analysis of Treatment Response Data from Eligibility Designs, by Siddhartha Chib and Liana Jacobi, Journal of Econometrics, (2008), 144, 465-478.


• Causal Effects from Panel Data in Randomized Experiments with Partial Compliance, by Siddhartha Chib and Liana Jacobi, Advances in Econometrics, (2008), 183-215.


• Panel Data Modeling and Inference: A Bayesian Primer, by Siddhartha Chib, in The Econometrics of Panel Data, 3rd edition (eds L. Matyas and P. Sevestre), (2008), 479-515.


• Hierarchical Bayes Modeling, by Siddhartha Chib and Edward Greenberg, The New Palgrave Dictionary of Economics, (2008), 73-732.


• MCMC Methods, by Siddhartha Chib, The New Palgrave Dictionary of Economics, (2008), 103-139.


• Assessing the Role of Option Grants to CEOs: How Important Is Heterogeneity?, by Nina Baranchuk and Siddhartha Chib, Journal of Empirical Finance, (2008), 15, 145-166.

2007

• Modeling and Calculating the Effect of Treatment at Baseline from Panel Outcomes, by Siddhartha Chib and Liana Jacobi, Journal of Econometrics, (2007), 140, 781-801.


• Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference, by Yasuhiro Omori, Siddhartha Chib, Neil Shephard, and Jouchi Nakajima, Journal of Econometrics, (2007), 140, 425-449.


• Analysis of Treatment Response Data Without the Joint Distribution of Potential Outcomes, by Siddhartha Chib, Journal of Econometrics, (2007), 140, 410-412.


• Semiparametric Modeling and Estimation of Instrumental Variable Models, by Siddhartha Chib and Edward Greenberg, Journal of Computational and Graphical Statistics, (2007), 16, 86-114.

2006

• Analysis of High-Dimensional Multivariate Stochastic Volatility Models, by Siddhartha Chib, Federico Nardari, and Neil Shephard, Journal of Econometrics, (2006), 134, 341-371.


• Inference in Semiparametric Dynamic Models for Binary Longitudinal Data, by Siddhartha Chib and Ivan Jeliazkov, Journal of the American Statistical Association, (2006), 101, 685-700.

2005

• Accept-Reject Metropolis-Hastings Sampling and Marginal Likelihood Estimation, by Siddhartha Chib and Ivan Jeliazkov, Statistica Neerlandica, (2005), 30-44.


• Modeling and Analysis for Categorical Response Data, by Siddhartha Chib, in Handbook of Statistics, (2005), 835-865.


• Bayesian Model Selection for Join Point Regression with Application to Age-Adjusted Cancer Rates, by Ram C. Tiwari, Siddhartha Chib, and others, Applied Statistics (JRSS-C), (2005), 919-939.

2004

• MCMC Technology, by Siddhartha Chib, in Handbook of Computational Statistics, (2004), 71-102.


• Model of Brand Choice with a No-Purchase Option Calibrated to Scanner Panel Data, by Siddhartha Chib, P.B. Seetharaman, and Andrei Strijnev, Journal of Marketing Research, (2004), 184-196.

2003

• Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models, by Sanjib Basu and Siddhartha Chib, Journal of the American Statistical Association, (2003), 224-235.


• On Inferring Effects of Binary Treatments with Unobserved Confounders (with discussion), by Siddhartha Chib, in Bayesian Statistics, (2003), 66-84.

2002

• Semiparametric Bayes Analysis of Longitudinal Data Treatment Models, by Siddhartha Chib and Barton Hamilton, Journal of Econometrics, (2002), 110, 67-89.



• Markov Chain Monte Carlo Methods for Stochastic Volatility Models, by Siddhartha Chib, Federico Nardari, and Neil Shephard, Journal of Econometrics, (2002), 108, 281-316.

2001

• Marginal Likelihood from the Metropolis-Hastings Output, by Siddhartha Chib and Ivan Jeliazkov, Journal of the American Statistical Association, (2001), 96, 270-281.


• Likelihood Inference for Discretely Observed Nonlinear Diffusions, by Ola Elerian, Siddhartha Chib, and Neil Shephard, Econometrica, (2001), 69, 959-994.


• Markov Chain Monte Carlo Methods: Computation and Inference, by Siddhartha Chib, in Handbook of Econometrics: Volume 5 (eds J.J. Heckman and E. Leamer), North Holland, Amsterdam, (2001), 3569-3649.


• Markov Chain Monte Carlo Analysis of Correlated Count Data, by Siddhartha Chib and Rainer Winkelmann, Journal of Business and Economic Statistics, (2001), 19, 428-435.


• Sequential Ordinal Modeling with Applications to Survival Data, by James Albert and Siddhartha Chib, Biometrics, (2001), 57, 829-836.


• Monte Carlo Methods and Bayesian Computation: Overview, by Siddhartha Chib, in International Encyclopedia of the Social and Behavioral Sciences: Statistics (eds Neil J. Smelser and Paul B. Baltes), Elsevier Science Ltd, Oxford, (2001), 10004-10009.

2000

• Bayesian Analysis of Cross Section and Clustered Data Treatment Models, by Siddhartha Chib and Barton Hamilton, Journal of Econometrics, (2000), 97, 25-50.


• Bayesian Methods for Correlated Binary Data, by Siddhartha Chib, in Generalized Linear Models: A Bayesian Perspective (eds D. Dey, S. Ghosh, and B. Mallick), Marcel-Dekker, New York, (2000), 113-131.

1999

• On MCMC Sampling in Hierarchical Longitudinal Models, by Siddhartha Chib and Bradley Carlin, Statistics and Computing, (1999), 9, 17-26.


• Markov Chain Monte Carlo and Models of Consideration Set and Parameter Heterogeneity, by Jeongwen Chiang, Siddhartha Chib, and Chakravarthi Narasimhan, Journal of Econometrics, (1999), 89, 223-248.

1998

• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models, by S. Kim, Neil Shephard, and Siddhartha Chib, Review of Economic Studies, (1998), 65, 361-394.


• Analysis of Multivariate Probit Models, by Siddhartha Chib and Edward Greenberg, Biometrika, (1998), 85, 347-361.


• Estimation and Comparison of Multiple Change Point Models, by Siddhartha Chib, Journal of Econometrics, (1998), 86, 221-241.


• Posterior Simulation and Bayes Factors in Panel Count Data Models, by Siddhartha Chib, Edward Greenberg, and Rainer Winkelmann, Journal of Econometrics, (1998), 86, 33-54.

1997

• Bayesian Tests and Model Diagnostics in Conditionally Independent Hierarchical Models, by James Albert and Siddhartha Chib, Journal of the American Statistical Association, (1997), 92, 916-925.

1996

• Calculating Posterior Distributions and Modal Estimates in Markov Mixture Models, by Siddhartha Chib, Journal of Econometrics, (1996), 75, 79-97.



• Markov Chain Monte Carlo Simulation Methods in Econometrics, by Siddhartha Chib and Edward Greenberg, Econometric Theory, (1996), 12, 409-431.


• Bayesian Modeling of Repeated Measures Data with Application to a Cross-Over Trial, by James Albert and Siddhartha Chib, in Bayesian Biostatistics (eds., D. Berry and D. Stangl), (1996), 577-599, Marcel Dekker.


• Computation in Bayesian Econometrics: An Introduction to Markov Chain Monte Carlo, by James Albert and Siddhartha Chib, in Advances in Econometrics, Volume 11A (eds., T. Fomby and R.C. Hill), (1996), 3-24, Jai Press.

1995

• Understanding the Metropolis-Hastings Algorithm, by Siddhartha Chib and Edward Greenberg, American Statistician, (1995), 49, 327-335.


• Marginal Likelihood From the Gibbs Output, by Siddhartha Chib, Journal of the American Statistical Association, (1995), 90, 1313-1321.


• Bayesian Model Choice via Markov Chain Monte Carlo Methods, by Brad Carlin and Siddhartha Chib, Journal of the Royal Statistical Society, Series B (Statistical Methodology), (1995), 57, 473-484.


• Bayesian Residual Analysis for Binary Response Regression Models, by James Albert and Siddhartha Chib, Biometrika, (1995), 82, 747-759.


• Hierarchical Analysis of SUR Models with Extensions to Correlated Serial Errors and Time Varying Parameter Models, by Siddhartha Chib and Edward Greenberg, Journal of Econometrics, (1995), 68, 339-360.

1994

• Bayes Inference in Regression Models with ARMA (p,q) Errors, by Siddhartha Chib and Edward Greenberg, Journal of Econometrics, (1994), 64, 183-206.


• Outlier Detection in the State Space Model, by Siddhartha Chib and Ram C. Tiwari, Probability and Statistics Letters, (1994), 20, 143-148.

1993

• Bayesian Analysis of Binary and Polychotomous Response Data, by James Albert and Siddhartha Chib, Journal of the American Statistical Association, (1993), 88, 669-679.


• Bayes Estimation of Regressions with Autoregressive Errors: A Gibbs Sampling Approach, by Siddhartha Chib, Journal of Econometrics, (1993), 58, 275-294.


• Bayesian Analysis via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts, by James Albert and Siddhartha Chib, Journal of Business and Economic Statistics, (1993), 11, 1-15.

1992

• Bayes Inference in the Tobit Censored Regression Model, by Siddhartha Chib, Journal of Econometrics, (1992), 51, 79-99.

1991

• Robust Inference in Normal Linear Regression with an Improper Mixture Prior, by Siddhartha Chib and Ram Tiwari, Communications in Statistics, Theory and Methods, (1991), 20, 807-829.

1989

• Bayes Estimation of the Multiple Correlation Coefficient, by Siddhartha Chib, Ram Tiwari, and S.R. Jammalamadaka, Communications in Statistics, Theory and Methods, (1989), 18, 1401-1413.

1988

• Bayes Prediction Density and Regression Estimation: A Semi Parametric Approach, by Ram Tiwari, S.R. Jammalamadaka, and Siddhartha Chib, Empirical Economics, (1988), 13, 209-222.

1987

• Another Look at Some Results on the Recursive Estimation in the General Linear Model, by Siddhartha Chib, S.R. Jammalamadaka, and Ram Tiwari, American Statistician, (1987), 41, 56-58.