Works by Chib, Siddhartha

Results: 35

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Published in:

Review of Economic Studies, 1998, v. 65, n. 3, p. 361, doi. 10.1111/1467-937x.00050

By:

Kim, Sangjoon;
Shephard, Neil;
Chib, Siddhartha

Publication type:

Article

DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors.

Published in:

Computational Economics, 2023, v. 61, n. 1, p. 69, doi. 10.1007/s10614-021-10200-y

By:

Chib, Siddhartha;
Shin, Minchul;
Tan, Fei

Publication type:

Article

Analysis of multivariate probit models.

Published in:

Biometrika, 1998, v. 85, n. 2, p. 347, doi. 10.1093/biomet/85.2.347

By:

CHIB, SIDDHARTHA;
GREENBERG, EDWARD

Publication type:

Article

Bayesian estimation and comparison of conditional moment models.

Published in:

Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2022, v. 84, n. 3, p. 740, doi. 10.1111/rssb.12484

By:

Chib, Siddhartha;
Shin, Minchul;
Simoni, Anna

Publication type:

Article

Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework.

Published in:

Journal of Business & Economic Statistics, 2020, v. 38, n. 4, p. 771, doi. 10.1080/07350015.2019.1573684

By:

Chib, Siddhartha;
Zeng, Xiaming

Publication type:

Article

Comment (Siddhartha Chib and Neil Shephard).

Published in:

Journal of Business & Economic Statistics, 2002, v. 20, n. 3, p. 325

By:

Chib, Siddhartha;
Shepard, Neil

Publication type:

Article

Markov Chain Monte Carlo Analysis of Correlated Count Data.

Published in:

Journal of Business & Economic Statistics, 2001, v. 19, n. 4, p. 428, doi. 10.1198/07350010152596673

By:

Chib, Siddhartha;
Winkelmann, Rainer

Publication type:

Article

Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts.

Published in:

Journal of Business & Economic Statistics, 1993, v. 11, n. 1, p. 1, doi. 10.2307/1391303

By:

Albert, James H.;
Chib, Siddhartha

Publication type:

Article

Bayesian Estimation and Comparison of Moment Condition Models.

Published in:

Journal of the American Statistical Association, 2018, v. 113, n. 524, p. 1656, doi. 10.1080/01621459.2017.1358172

By:

Chib, Siddhartha;
Shin, Minchul;
Simoni, Anna

Publication type:

Article

Analysis of Multifactor Affine Yield Curve Models.

Published in:

Journal of the American Statistical Association, 2009, v. 104, n. 488, p. 1324, doi. 10.1198/jasa.2009.ap08029

By:

Chib, Siddhartha;
Ergashev, Bakhodir

Publication type:

Article

Inference in Semiparametric Dynamic Models for Binary Longitudinal Data.

Published in:

Journal of the American Statistical Association, 2006, v. 101, n. 474, p. 685, doi. 10.1198/016214505000000871

By:

Chib, Siddhartha;
Jeliazkov, Ivan

Publication type:

Article

Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models.

Published in:

Journal of the American Statistical Association, 2003, v. 98, n. 461, p. 224, doi. 10.1198/01621450338861947

By:

Basu, Sanjib;
Chib, Siddhartha

Publication type:

Article

Likelihood Inference for Discretely Observed Nonlinear Diffusions.

Published in:

Econometrica, 2001, v. 69, n. 4, p. 959, doi. 10.1111/1468-0262.00226

By:

Elerian, Ola;
Chib, Siddhartha;
Shephard, Neil

Publication type:

Article

Bayesian model selection for join point regression with application to age-adjusted cancer rates.

Published in:

Journal of the Royal Statistical Society: Series C (Applied Statistics), 2005, v. 54, n. 5, p. 919, doi. 10.1111/j.1467-9876.2005.00518.x

By:

Tiwari, Ram C.;
Cronin, Kathleen A.;
Davis, William;
Feuer, Eric J.;
Yu, Binbing;
Chib, Siddhartha

Publication type:

Article

Model of Brand Choice with a No-Purchase Option Calibrated to Scanner-Panel Data.

Published in:

Journal of Marketing Research (JMR), 2004, v. 41, n. 2, p. 184, doi. 10.1509/jmkr.41.2.184.28674

By:

Chib, Siddhartha;
Seetharaman, P.B.;
Strijnev, Andrei

Publication type:

Article

Semiparametric Multivariate and Multiple Change-Point Modeling.

Published in:

Bayesian Analysis, 2019, v. 14, n. 3, p. 727, doi. 10.1214/18-BA1125

By:

Peluso, Stefano;
Chib, Siddhartha;
Mira, Antonietta

Publication type:

Article

Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Schooling.

Published in:

Journal of Applied Econometrics, 2016, v. 31, n. 6, p. 1026, doi. 10.1002/jae.2481

By:

Chib, Siddhartha;
Jacobi, Liana

Publication type:

Article

Change-Points in Affine Arbitrage-Free Term Structure Models.

Published in:

Journal of Financial Econometrics, 2013, v. 11, n. 2, p. 302, doi. 10.1093/jjfinec/nbs004

By:

Chib, Siddhartha;
Kang, Kyu Ho

Publication type:

Article

Understanding the Metropolis-Hastings algorithm.

Published in:

American Statistician, 1995, v. 49, n. 4, p. 327, doi. 10.2307/2684568

By:

Chib, Siddhartha;
Greenberg, Edward

Publication type:

Article

Another Look at Some Results on the Recursive Estimation in General Linear Model.

Published in:

American Statistician, 1987, v. 41, n. 1, p. 56, doi. 10.2307/2684322

By:

Chib, Siddhartha;
Jammalamadaka, S. Rao;
Tiwari, Ram C.

Publication type:

Article

Models of Multi-Category Choice Behavior.

Published in:

Marketing Letters, 2005, v. 16, n. 3/4, p. 239, doi. 10.1007/s11002-005-5888-y

By:

Seetharaman, P.;
Chib, Siddhartha;
Ainslie, Andrew;
Boatwright, Peter;
Chan, Tat;
Gupta, Sachin;
Mehta, Nitin;
Rao, Vithala;
Strijnev, Andrei

Publication type:

Article

Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation.

Published in:

Statistica Neerlandica, 2005, v. 59, n. 1, p. 30, doi. 10.1111/j.1467-9574.2005.00277.x

By:

Chib, Siddhartha;
Jeliazkov, Ivan

Publication type:

Article

Marginal Likelihood From the Metropolis-Hastings Output.

Published in:

Journal of the American Statistical Association, 2001, v. 96, n. 453, p. 270, doi. 10.1198/016214501750332848

By:

Chib, Siddhartha;
Jeliazkov, Ivan

Publication type:

Article

Bayesian Tests and Model Diagnostics in Conditionally Independent Hierarchical Models.

Published in:

Journal of the American Statistical Association, 1997, v. 92, n. 439, p. 916, doi. 10.1080/01621459.1997.10474046

By:

Albert, Jim;
Chib, Siddhartha

Publication type:

Article

Marginal likelihood from the Gibbs output.

Published in:

Journal of the American Statistical Association, 1995, v. 90, n. 432, p. 1313, doi. 10.1080/01621459.1995.10476635

By:

Chib, Siddhartha

Publication type:

Article

Bayesian analysis of binary and polychotomous response data.

Published in:

Journal of the American Statistical Association, 1993, v. 88, n. 422, p. 669, doi. 10.1080/01621459.1993.10476321

By:

Albert, James H.;
Chib, Siddhartha

Publication type:

Article

Sequential Ordinal Modeling with Applications to Survival Data.

Published in:

Biometrics, 2001, v. 57, n. 3, p. 829, doi. 10.1111/j.0006-341X.2001.00829.x

By:

Albert, James H.;
Chib, Siddhartha

Publication type:

Article

Robust bayes analysis in normal linear regression with an improper mixture prior.

Published in:

Communications in Statistics: Theory & Methods, 1991, v. 20, n. 3, p. 807, doi. 10.1080/03610929108830532

By:

Chib, Siddhartha;
Tiwari, Ram C.

Publication type:

Article

Bayes estimation of the multiple correlation coefficient.

Published in:

Communications in Statistics: Theory & Methods, 1989, v. 18, n. 4, p. 1401, doi. 10.1080/03610928908829974

By:

Tiwari, Ram C.;
Chib, Siddhartha;
Rao Jammalamadaka, S.

Publication type:

Article

Winners from Winners: A Tale of Risk Factors.

Published in:

Management Science, 2024, v. 70, n. 1, p. 396, doi. 10.1287/mnsc.2023.4668

By:

Chib, Siddhartha;
Zhao, Lingxiao;
Zhou, Guofu

Publication type:

Article

DSGE Models with Student- t Errors.

Published in:

Econometric Reviews, 2014, v. 33, n. 1-4, p. 152, doi. 10.1080/07474938.2013.807152

By:

Chib, Siddhartha;
Ramamurthy, Srikanth

Publication type:

Article

Estimation of Semiparametric Models in the Presence of Endogeneity and Sample Selection.

Published in:

Journal of Computational & Graphical Statistics, 2009, v. 18, n. 2, p. 321, doi. 10.1198/jcgs.2009.07070

By:

Chib, Siddhartha;
Greenberg, Edward;
Jeliazkov, Ivan

Publication type:

Article

Semiparametric Modeling and Estimation of Instrumental Variable Models.

Published in:

Journal of Computational & Graphical Statistics, 2007, v. 16, n. 1, p. 86, doi. 10.1198/106186007X180723

By:

Chib, Siddhartha;
Greenberg, Edward

Publication type:

Article

NONPARAMETRIC BAYES ANALYSIS OF THE SHARP AND FUZZY REGRESSION DISCONTINUITY DESIGNS.

Published in:

Econometric Theory, 2023, v. 39, n. 3, p. 481, doi. 10.1017/S0266466622000019

By:

Chib, Siddhartha;
Greenberg, Edward;
Simoni, Anna

Publication type:

Article

Markov Chain Monte Carlo Simulation Methods in Econometrics.

Published in:

Econometric Theory, 1996, v. 12, n. 3, p. 409, doi. 10.1017/S0266466600006794

By:

Chib, Siddhartha;
Greenberg, Edward

Publication type:

Article