• Professor of Econometrics and Statistics, Olin Business School

Siddhartha Chib

Download

• Ph.D. at University of California, Santa Barbara
• M.A. at University of California, Santa Barbara
• M.B.A. at Indian Institute of Management, Abmedabad
• B.A. at St. Stephens College, Delhi University, India

Areas of Expertise:

Statistics/Econometrics

Research interests:

Bayesian statistics and econometrics, Markov chain Monte Carlo methods

Selected Publications:

* "Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models," Journal of the American Statistical Association, with S. Basu, forthcoming

* "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, with O. Elerian and N. Shephard, 2001

* "Marginal Likelihood from the Metropolis-Hastings Output," Journal of the American Statistical Association, with I. Jeliazkov, 2001

* "On MCMC Sampling in Hierarchical Longitudinal Models," Statistics and Computing, with B. Carlin, 1999

* "Analysis of Multivariate Probit Models," Biometrika, with E. Greenberg, 1998

* "Estimation and Comparison of Multiple Change Point Models," Journal of Econometrics, 1998

* "Posterior Simulation and Bayes Factors in Panel Count Data Models," Journal of Econometrics, with E. Greenberg and R. Winkelmann, 1998

* "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, with S. Kim and N. Shephard, 1998

* "Bayesian Tests and Model Diagnostics in Conditionally Independent Hierarchical Models," Journal of the American Statistical Association, with J. Albert, 1997

* "Calculating Posterior Distributions and Modal Estimates in Markov Mixture Models," in Journal of Econometrics, 1996

* "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, with E. Greenberg, 1996

* "Bayesian Model Choice via Markov Chain Monte Carlo," Journal of the Royal Statistical Society, with B. Carlin, 1995

* "Bayesian Residual Analysis for Binary Response Regression Models," Biometrika, with J. Albert, 1995

* "Hierarchical Analysis of SUR Models with Extensions to Correlated Serial Errors and Time Varying Parameter Models," Journal of Econometrics, with E. Greenberg, 1995

* "Marginal Likelihood From the Gibbs Output," Journal of the American Statistical Association, 1995

* "Understanding the Metropolis-Hastings Algorithm," American Statistician, with E. Greenberg, 1995

* "Bayes Inference in Regression Models with ARMA (p,q) Errors," Journal of Econometrics, with E. Greenberg, 1994

* "Bayesian Analysis of Binary and Polychotomous Response Data," Journal of the American Statistical Association, with J. Albert, 1993

* "Bayes Estimation of Regressions with Autoregressive Errors: A Gibbs Sampling Approach," Journal of Econometrics, 1993

* "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business and Economic Statistics, 1993

* "Bayes Inference in the Tobit Censored Regression Model," Journal of Econometrics, 1992

Academic/professional activities:

Associate Editor: Journal of Econometrics; Journal of Business and Economic Statistics; Journal of Applied Econometrics, Statistics and Computing; Journal of Computational and Graphical Statistics

Member: American Statistical Association; Econometric Society; Institute of Mathematical Statistics

Personal interests:

Professor Chib is an avid chess player.