Selected Publications
"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, New-York, in press.
"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)
Jai Press, Elsevier Science, Amsterdam, in press.
"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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