Selected Publications

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.

Bayesian Estimation and Comparison of Moment Condition Models
by Siddhartha Chib, Minchul Shin and Anna Simoni
Journal of the American Statistical Association, (2016), in press.

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

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

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.

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

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.

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 (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch)
Springer-Verlag, Springer-Verlag, Berlin Heidelberg, (2009), 365-400.

Causal Effects from Panel Data in Randomized Experiments with Partial Compliance
by Siddhartha Chib and Liana Jacobi
Advances in Econometrics, volume 23 (eds S. Chib, W.E. Griffiths and G. Koop) (2009), 183-215,
Jai Press, Bingley.

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

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,
Springer-Verlag, Berlin Heidelberg.

Hierarchical Bayes Modeling
by Siddhartha Chib and Edward Greenberg
The New Palgrave Dictionary of Economics (2nd edition) (eds S.N. Durlauf and L.E. Blume) (2008)
Palgrave Macmillan, New York, DOI:10.1057/9780230226203.0732.

MCMC Methods
by Siddhartha Chib
The New Palgrave Dictionary of Economics (2nd edition) (eds S.N. Durlauf and L.E. Blume) (2008)
Palgrave Macmillan, New York, DOI:10.1057/9780230226203.1039.

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.

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.

Modeling and Analysis for Categorical Response Data
by Siddhartha Chib
in Handbook of Statistics (Volume 25) Bayesian Thinking: Modeling and Computation (eds D. Dey and C.R. Rao), (2005), 835-865.
Elsevier Science, Amsterdam.

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

MCMC Technology
by Siddhartha Chib
in Handbook of Computational Statistics (Volume I) Concepts and Fundamentals (eds J. Gentle, W. Hardle and Y. Mori)
Springer-Verlag, Heidelberg, (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.

On Inferring Effects of Binary Treatments with Unobserved Confounders (with discussion)
by Siddhartha Chib
in Bayesian Statistics 7 (eds J.M. Bernardo, M.J. Bayarri, J.O. Berger, A.P. Dawid, D. Heckerman, A.F.M. Smith and M. West)
Oxford University Press, (2003), 66-84.

Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models
by Sanjib Basu and Siddhartha Chib
Journal of the American Statistical Association, (2003), 98, 224-235.

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.

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.

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.

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

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.

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

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

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.

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

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.

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.

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.

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.

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

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

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

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.

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

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

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.

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

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.

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.

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

Bayes Prediction in Regressions with Elliptical Errors
by Siddhartha Chib, S.R. Jammalamadaka and Ram Tiwari
Journal of Econometrics , (1988), 38, 349-360.

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.

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