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Siddhartha Chib

Personal Details

First Name:Siddhartha
Middle Name:
Last Name:Chib
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RePEc Short-ID:pch2349
[This author has chosen not to make the email address public]

Affiliation

Olin School of Business
Washington University in St. Louis

St. Louis, Missouri (United States)
http://www.olin.wustl.edu/
RePEc:edi:oswusus (more details at EDIRC)

Research output

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Jump to: Working papers Articles Chapters

Working papers

  1. Siddhartha Chib & Minchul Shin & Anna Simoni, 2026. "Testing for Endogeneity: A Moment-Based Bayesian Approach," Papers 2603.07780, arXiv.org.
  2. Siddhartha Chib & Kenichi Shimizu, 2025. "Potential Outcome Modeling and Estimation in DiD Designs with Staggered Treatments," Papers 2505.18391, arXiv.org, revised Jan 2026.
  3. Siddhartha Chib & Fei Tan, 2025. "Learning the Macroeconomic Language," Papers 2512.21031, arXiv.org, revised Dec 2025.
  4. Siddhartha Chib & Simon C. Smith, 2024. "Factor Selection and Structural Breaks," Finance and Economics Discussion Series 2024-037, Board of Governors of the Federal Reserve System (U.S.).
  5. Siddhartha Chib & Minchul Shin & Anna Simoni, 2024. "Testing for Endogeneity: A Moment-Based Bayesian Approach," Working Papers 24-19, Federal Reserve Bank of Philadelphia.
  6. Daichi Hiraki & Siddhartha Chib & Yasuhiro Omori, 2024. "Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler," Papers 2404.13986, arXiv.org, revised Nov 2024.
  7. Siddhartha Chib & Kenichi Shimizu, 2023. "Scalable Estimation of Multinomial Response Models with Random Consideration Sets," Papers 2308.12470, arXiv.org, revised Sep 2025.
  8. Siddhartha Chib & Edward Greenberg & Anna Simoni, 2022. "Nonparametric Bayes Analysis Of The Sharp And Fuzzy Regression Discontinuity Designs," Post-Print hal-04976308, HAL.
  9. Siddhartha Chib & Minchul Shin & Fei Tan, 2021. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Working Papers 21-02, Federal Reserve Bank of Philadelphia.
  10. Siddhartha Chib & Minchul Shin & Anna Simoni, 2021. "Bayesian Estimation and Comparison of Conditional Moment Models," Papers 2110.13531, arXiv.org.
  11. Siddhartha Chib & Minchul Shin & Fei Tan, 2020. "High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗," Working Papers 20-35, Federal Reserve Bank of Philadelphia.
  12. Siddhartha Chib & Minchul Shin & Anna Simoni, 2018. "Bayesian Estimation and Comparison of Moment Condition Models," Post-Print hal-03089882, HAL.
  13. Siddharta Chib & Minchul Shin & Anna Simoni, 2016. "Bayesian Empirical Likelihood Estimation and Comparison of Moment Condition Models," Working Papers 2016-21, Center for Research in Economics and Statistics.
  14. Chib, Siddhartha & Jacobi, Liana, 2011. "Returns to Compulsory Schooling in Britain: Evidence from a Bayesian Fuzzy Regression Discontinuity Analysis," IZA Discussion Papers 5564, IZA Network @ LISER.
  15. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "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 Yo," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  16. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
  17. Siddhartha Chib & Michael Dueker & Anatoliy Belaygorod, 2005. "Structural Breaks in Estimated DSGE Models with Indeterminacy," Computing in Economics and Finance 2005 357, Society for Computational Economics.
  18. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.
  19. Neil Shephard & Siddhartha Chib & Olin School of Business & Washington University & Michael K. Pitt & Department of Economics & University of Warwick, 2004. "Likelihood based inference for diffusion driven models," Economics Series Working Papers 2004-FE-17, University of Oxford, Department of Economics.
  20. Chib, Siddhartha, 2004. "Markov Chain Monte Carlo Technology," Papers 2004,22, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
  21. Siddhartha Chib & Michael J. Dueker, 2004. "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers 2004-030, Federal Reserve Bank of St. Louis.
  22. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford.
  23. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )," CARF F-Series CARF-F-011, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  24. Siddhartha Chib & Neil Shephard, 2001. "Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"," Economics Papers 2001-W26, Economics Group, Nuffield College, University of Oxford.
  25. Siddhartha Chib, 1999. "Windows Software for Bayesian MCMC Computations," Computing in Economics and Finance 1999 831, Society for Computational Economics.
  26. Elerian, O. & Chib, S. & Shephard, N., 1998. "Likelihood INference for Discretely Observed Non-linear Diffusions," Economics Papers 146, Economics Group, Nuffield College, University of Oxford.
  27. Siddhartha Chib & Edward Greenberg & Yuxin Chen, 1998. "MCMC Methods for Fitting and Comparing Multinomial Response Models," Econometrics 9802001, University Library of Munich, Germany, revised 06 May 1998.
  28. Siddhartha Chib & Edward Greenberg & Rainer Winkelmann, 1996. "Posterior Simulation and Bayes Factors in Panel Count Data Models," Econometrics 9608003, University Library of Munich, Germany, revised 25 Nov 1996.
  29. Siddhartha Chib & Edward Greenberg, 1996. "Bayesian Analysis of Multivariate Probit Models," Econometrics 9608002, University Library of Munich, Germany.
  30. Siddhartha Chib & Edward Greenberg, 1994. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometrics 9408001, University Library of Munich, Germany, revised 23 Feb 1995.
  31. Chib, S. & Osiewalski, J. & Steel, M.F.J., 1991. "A Baysian Note on Competing Correlation Structures in the Dynamic Linear Regression Model," Papers 9122, Tilburg - Center for Economic Research.
  32. Chib, S. & Osiewalski, J. & Steel, M.F.J., 1990. "Regression models under competing covariance matrices : A Bayesian perspective," Discussion Paper 1990-63, Tilburg University, Center for Economic Research.
  33. Chib, S. & Osiewalski, J. & Steel, M., 1990. "Posterior Inference On The Degrees Of Freedom Parameter In Multivariate-T Regression Models," Papers 9043, Tilburg - Center for Economic Research.
  34. Chib, Siddhartha & Greenberg, Edward & Winkelmann, Rainer, "undated". "Posterior Simulation and Model Choice in Longitudinal Generalized Linear Models," Department of Economics Discussion Papers 263772, University of Canterbury - New Zealand.
  35. Sangjoon Kim, Neil Shephard & Siddhartha Chib, "undated". "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
  36. Chib, Siddhartha & Winkelmann, Rainer, "undated". "Bayesian Analysis of Multivariate Count Data," Department of Economics Discussion Papers 263791, University of Canterbury - New Zealand.

Articles

  1. Siddhartha Chib & Lingxiao Zhao & Guofu Zhou, 2024. "Winners from Winners: A Tale of Risk Factors," Management Science, INFORMS, vol. 70(1), pages 396-414, January.
  2. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.
  3. Chib, Siddhartha & Greenberg, Edward & Simoni, Anna, 2023. "Nonparametric Bayes Analysis Of The Sharp And Fuzzy Regression Discontinuity Designs," Econometric Theory, Cambridge University Press, vol. 39(3), pages 481-533, June.
  4. Siddhartha Chib & Minchul Shin & Anna Simoni, 2022. "Bayesian estimation and comparison of conditional moment models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 740-764, July.
  5. Siddhartha Chib & Xiaming Zeng, 2020. "Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(4), pages 771-783, October.
  6. Siddhartha Chib & Xiaming Zeng & Lingxiao Zhao, 2020. "On Comparing Asset Pricing Models," Journal of Finance, American Finance Association, vol. 75(1), pages 551-577, February.
  7. Siddhartha Chib & Minchul Shin & Anna Simoni, 2018. "Bayesian Estimation and Comparison of Moment Condition Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(524), pages 1656-1668, October.
  8. Siddhartha Chib & Liana Jacobi, 2016. "Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Schooling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1026-1047, September.
  9. Siddhartha Chib & Srikanth Ramamurthy, 2014. "DSGE Models with Student- t Errors," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 152-171, June.
  10. Siddhartha Chib & Kyu Ho Kang, 2013. "Change-Points in Affine Arbitrage-Free Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 302-334, March.
  11. Chib, Siddhartha & Ramamurthy, Srikanth, 2010. "Tailored randomized block MCMC methods with application to DSGE models," Journal of Econometrics, Elsevier, vol. 155(1), pages 19-38, March.
  12. Chib, Siddhartha & Greenberg, Edward, 2010. "Additive cubic spline regression with Dirichlet process mixture errors," Journal of Econometrics, Elsevier, vol. 156(2), pages 322-336, June.
  13. Chib, Siddhartha & Ergashev, Bakhodir, 2009. "Analysis of Multifactor Affine Yield Curve Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1324-1337.
  14. Baranchuk, Nina & Chib, Siddhartha, 2008. "Assessing the role of option grants to CEOs: How important is heterogeneity?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 145-166, March.
  15. Chib, Siddhartha & Jacobi, Liana, 2008. "Analysis of treatment response data from eligibility designs," Journal of Econometrics, Elsevier, vol. 144(2), pages 465-478, June.
  16. Chib, Siddhartha, 2007. "Analysis of treatment response data without the joint distribution of potential outcomes," Journal of Econometrics, Elsevier, vol. 140(2), pages 401-412, October.
  17. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
  18. Chib, Siddhartha & Jacobi, Liana, 2007. "Modeling and calculating the effect of treatment at baseline from panel outcomes," Journal of Econometrics, Elsevier, vol. 140(2), pages 781-801, October.
  19. Chib, Siddhartha & Jeliazkov, Ivan, 2006. "Inference in Semiparametric Dynamic Models for Binary Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 685-700, June.
  20. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006. "Analysis of high dimensional multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October.
  21. P. Seetharaman & Siddhartha Chib & Andrew Ainslie & Peter Boatwright & Tat Chan & Sachin Gupta & Nitin Mehta & Vithala Rao & Andrei Strijnev, 2005. "Models of Multi-Category Choice Behavior," Marketing Letters, Springer, vol. 16(3), pages 239-254, December.
  22. Siddhartha Chib & Ivan Jeliazkov, 2005. "Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(1), pages 30-44, February.
  23. Ram C. Tiwari & Kathleen A. Cronin & William Davis & Eric J. Feuer & Binbing Yu & Siddhartha Chib, 2005. "Bayesian model selection for join point regression with application to age‐adjusted cancer rates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 54(5), pages 919-939, November.
  24. Basu S. & Chib S., 2003. "Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 224-235, January.
  25. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
  26. Chib, Siddhartha & Shephard, Neil, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 325-327, July.
  27. Chib, Siddhartha & Hamilton, Barton H., 2002. "Semiparametric Bayes analysis of longitudinal data treatment models," Journal of Econometrics, Elsevier, vol. 110(1), pages 67-89, September.
  28. Chib, Siddhartha & Winkelmann, Rainer, 2001. "Markov Chain Monte Carlo Analysis of Correlated Count Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 428-435, October.
  29. Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, vol. 69(4), pages 959-993, July.
  30. James H. Albert & Siddhartha Chib, 2001. "Sequential Ordinal Modeling with Applications to Survival Data," Biometrics, The International Biometric Society, vol. 57(3), pages 829-836, September.
  31. Chib S. & Jeliazkov I., 2001. "Marginal Likelihood From the Metropolis-Hastings Output," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 270-281, March.
  32. Chib, Siddhartha & Hamilton, Barton H., 2000. "Bayesian analysis of cross-section and clustered data treatment models," Journal of Econometrics, Elsevier, vol. 97(1), pages 25-50, July.
  33. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
  34. Chiang, Jeongwen & Chib, Siddhartha & Narasimhan, Chakravarthi, 1998. "Markov chain Monte Carlo and models of consideration set and parameter heterogeneity," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 223-248, November.
  35. Chib, Siddhartha & Greenberg, Edward & Winkelmann, Rainer, 1998. "Posterior simulation and Bayes factors in panel count data models," Journal of Econometrics, Elsevier, vol. 86(1), pages 33-54, June.
  36. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
  37. Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
  38. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(3), pages 409-431, August.
  39. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
  40. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
  41. Chib, Siddhartha & Tiwari, Ram C., 1994. "Outlier detection in the state space model," Statistics & Probability Letters, Elsevier, vol. 20(2), pages 143-148, May.
  42. Chib, Siddhartha, 1993. "Bayes regression with autoregressive errors : A Gibbs sampling approach," Journal of Econometrics, Elsevier, vol. 58(3), pages 275-294, August.
  43. Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
  44. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
  45. Cooley, Thomas F. & Parke, William R. & Chib, Siddhartha, 1989. "Predictive efficiency for simple non-linear models," Journal of Econometrics, Elsevier, vol. 40(1), pages 33-44, January.
  46. Tiwari, R C & Jammalamadaka, S R & Chib, Siddhartha, 1988. "Bayes Prediction Density and Regression Estimation--A Semiparametric Approach," Empirical Economics, Springer, vol. 13(3/4), pages 209-222.
  47. Chib, Siddhartha & Tiwari, Ram C. & Jammalamadaka, S. Rao, 1988. "Bayes prediction in regressions with elliptical errors," Journal of Econometrics, Elsevier, vol. 38(3), pages 349-360, July.
  48. Chib, Siddhartha & Jammalamadaka, S. Rao & Tiwari, Ram C., 1987. "A new definition of the predictive likelihood," Statistics & Probability Letters, Elsevier, vol. 5(2), pages 113-118, March.
  49. Jammalamadaka, S. Rao & Tiwari, Ram C. & Chib, Siddhartha, 1987. "Bayes prediction in the linear model with spherically symmetric errors," Economics Letters, Elsevier, vol. 24(1), pages 39-44.
  50. Basu, Parantap & Chib, Siddhartha, 1985. "Equity premium in a production economy : A parametric example," Economics Letters, Elsevier, vol. 18(1), pages 53-58.

Chapters

  1. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2009. "Multivariate Stochastic Volatility," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 16, pages 365-400, Springer.
  2. Clifford M. Hurvich & Philippe Soulier, 2009. "Stochastic Volatility Models with Long Memory," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 14, pages 345-354, Springer.
  3. Siddhartha Chib & Liana Jacobi, 2008. "Causal effects from panel data in randomized experiments with partial compliance," Advances in Econometrics, in: Bayesian Econometrics, pages 183-215, Emerald Group Publishing Limited.
  4. Chib, Siddhartha, 2001. "Markov chain Monte Carlo methods: computation and inference," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 57, pages 3569-3649, Elsevier.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (13) 2004-08-31 2004-09-30 2004-12-12 2004-12-12 2005-05-23 2007-04-09 2019-12-23 2023-09-25 2024-06-10 2024-07-08 2025-01-06 2025-06-16 2026-01-19. Author is listed
  2. NEP-ETS: Econometric Time Series (11) 2001-12-19 2004-08-31 2004-09-30 2004-12-12 2004-12-12 2005-05-23 2007-04-09 2024-06-10 2024-07-08 2025-01-06 2026-01-19. Author is listed
  3. NEP-ORE: Operations Research (4) 2019-12-23 2020-11-16 2021-11-22 2022-03-21
  4. NEP-CMP: Computational Economics (2) 2004-08-31 2026-01-19
  5. NEP-CWA: Central and Western Asia (2) 2021-11-22 2022-03-21
  6. NEP-DGE: Dynamic General Equilibrium (2) 2020-11-16 2026-01-19
  7. NEP-AIN: Artificial Intelligence (1) 2026-01-19
  8. NEP-BAN: Banking (1) 2022-03-21
  9. NEP-BIG: Big Data (1) 2026-01-19
  10. NEP-DCM: Discrete Choice Models (1) 2023-09-25
  11. NEP-EDU: Education (1) 2011-03-26
  12. NEP-FOR: Forecasting (1) 2026-01-19
  13. NEP-INV: Investment (1) 2025-06-16
  14. NEP-LAB: Labour Economics (1) 2011-03-26
  15. NEP-MAC: Macroeconomics (1) 2020-11-16
  16. NEP-RMG: Risk Management (1) 2004-08-31

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