Siddhartha Chib

[Picture of Siddhartha Chib]

SIDDHARTHA CHIB

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
email: chib@wustl.edu
phone: (314) 935-4657
fax: (314) 935-6359

Research and Teaching

Professor Chib is an econometrician and statistician who works in Bayesian statistics, econometrics and Markov chain Monte Carlo (MCMC) methods. He is a Fellow of the American Statistical Association, of the International Society of Bayesian Analysis and the Journal of Econometrics. He is an Associate Editor of the Journal of Computational and Graphical Statistics, and Statistics and Computing. Since 2003, he has directed the annual NBER-NSF sponsored Seminar in Bayesian Econometrics and Statistics (SBIES), a conference 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.

In his research, which is available here, he has developed new and original inferential approaches and methods for diverse problems that have been widely used by researchers in statistics, economics, social sciences and the sciences. The areas of research, along with key papers, include

Binary and Polychotomous Response Data
- Bayesian Analysis of Binary and Polychotomous Response Data, Albert and Chib (1993)
- Bayes Inference in the Tobit Censored Regression Model, Chib (1992)
- Bayesian Residual Analysis for Binary Response Regression Models, Albert and Chib (1995)
- Analysis of Multivariate Probit Models, Chib and Greenberg (1998)
- MCMC Methods for Fitting and Comparing Multinomial Response Models, Chib, Greenberg and Chen (1998)
- Sequential Ordinal Modeling with Applications to Survival Data, Albert and Chib (2001)
Understanding the Metropolis-Hastings algorithm
- Understanding the Metropolis-Hastings Algorithm, Chib and Greenberg (1995)
- Markov Chain Monte Carlo Simulation Methods in Econometrics, Chib and Greenberg (1996)
- Markov Chain Monte Carlo Methods: Computation and Inference, Chib (2001)
- Tailored Randomized-block MCMC Methods with Application to DSGE Models, Chib and Ramamurthy (2010)
- Introduction to Simulation and MCMC Methods, Chib (2011)
Marginal likelihood from the Gibbs and Metropolis-Hastings output
- Marginal Likelihood From the Gibbs Output, Chib (1995)
- Bayesian Model Choice via Markov Chain Monte Carlo Methods, Carlin and Chib (1995)
- Marginal Likelihood from the Metropolis-Hastings Output, Chib and Jeliazkov (2001)
- Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models, Basu and Chib (2003)
- Accept-Reject Metropolis-Hastings Sampling and Marginal Likelihood Estimation, Chib and Jeliazkov (2005)
Stochastic volatility
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models, Kim, Shephard and Chib (1998)
- Markov Chain Monte Carlo Methods for Stochastic Volatility Models, Chib, Nardari and Shephard (2002)
- Analysis of High Dimensional Multivariate Stochastic Volatility Models, Chib, Nardari and Shephard (2006)
- Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference, Omori, Chib, Nakajima and Shephard (2007)
- Multivariate Stochastic Volatility, Chib, Omori and Asai (2009)
Hidden Markov models
- Bayesian Analysis via Gibbs Sampling of Autoregressive Time Series Subject to Markov Shifts, Albert and Chib (1993)
- Calculating Posterior Distributions and Modal Estimates in Markov Mixture Models, Chib (1996)
Muliple change point models
- Estimation and Comparison of Multiple Change Point Models , Chib (1998)
- Semiparametric Multivariate and Multiple Change-Point Modelling, Peluso, Chib and Mira (2018)
Discretely observed nonlinear diffusions
- Likelihood Inference for Discretely Observed Nonlinear Diffusions, Elerian, Chib and Shephard (2001)
AR, ARMA and SUR time-varying parameter models
- Bayes Estimation of Regressions with Autoregressive Errors: A Gibbs Sampling Approach, Chib (1993)
- Bayes Inference in Regression Models with ARMA (p,q) Errors, Chib and Greenberg (1994)
- Hierarchical Analysis of SUR Models with Extensions to Correlated Serial Errors and Time Varying Parameter Models, Chib and Greenberg (1995)
Multivariate and correlated count outcomes
- Markov Chain Monte Carlo Analysis of Correlated Count Data, Chib and Winkelmann (2001)
Panel and longitudinal models
- Posterior Simulation and Bayes Factors in Panel Count Data Models, Chib, Greenberg and Winkelmann (1998)
- On MCMC Sampling in Hierarchical Longitudinal Models, Chib and Carlin (1999)
- Markov Chain Monte Carlo and Models of Consideration Set and Parameter Heterogeneity, Chiang, Chib and Narasimhan (1999)
- Model of Brand Choice with a No-Purchase Option Calibrated to Scanner Panel Data, Chib, Seetharaman and Strijnev (2004)
- Inference in Semiparametric Dynamic Models for Binary Longitudinal Data, Chib and Jeliazkov (2006)
- Panel Data Modeling and Inference: A Bayesian Primer, Chib (2008)
Causal inference in cross-sectional and longitudinal settings
- Bayesian Analysis of Cross Section and Clustered Data Treatment Models, Chib and Hamilton (2000)
- Semiparametric Bayes Analysis of Longitudinal Data Treatment Models, Chib and Hamilton (2002)
- Analysis of Treatment Response Data Without the Joint Distribution of Potential Outcomes, Chib (2007)
- Semiparametric Modeling and Estimation of Instrumental Variable Models, Chib and Greenberg (2007)
- Estimation of Semiparametric Models in the Presence of Endogeneity and Sample Selection, Chib, Greenberg and Jeliazkov (2009)
- Modeling and Calculating the Effect of Treatment at Baseline from Panel Outcomes, Chib and Jacobi (2007)
- Analysis of Treatment Response Data from Eligibility Designs, Chib and Jacobi (2008)
- Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Schooling, Chib and Jacobi (2016)
- Nonparametric Bayes Analysis of the Sharp and Fuzzy Regression Discontinuity Designs, Chib, Greenberg and Simoni (2022)
Dynamic stochastic general equilibrium models
- Tailored Randomized-block MCMC Methods with Application to DSGE Models, Chib and Ramamurthy (2010)
- DSGE Models with Student-t Errors, Chib and Ramamurthy (2014)
Dirchlet process mixtures and splines
- Bayes Prediction Density and Regression Estimation: A Semi Parametric Approach, Chib, Jammalamadaka and Tiwari (1988)
- Semiparametric Bayes Analysis of Longitudinal Data Treatment Models, Chib and Hamilton (2002)
- Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models, Basu and Chib (2003)
- Additive Cubic Spline Regression with Dirichlet Process Mixture Errors, Chib and Greenberg (2010)
- On Conditional Variance Estimation in Nonparametric Regression, Chib and Greenberg (2013)
Term-structure and asset pricing models
- Analysis of Multi-Factor Affine Yield Curve Models, Chib and Ergashev (2009)
- Change Points in Affine Arbitrage-free Term Structure Models, Chib and Kang (2015)
- Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework, Chib and Zeng (2020)
- On Comparing Asset Pricing Models, Chib, Zeng and Zhao (2020)
- Winners from Winners: A Tale of Risk Factors, Chib, Zhao, Zhou (2022)
Moment condition models
- Bayesian Estimation and Comparison of Moment Condition Models, Chib, Shin and Simoni (2018)
- Bayesian Estimation and Comparison of Conditional Moment Models, Chib, Shin and Simoni (2022)