Siddhartha Chib

Washington University in St. Louis - John M. Olin Business School

Professor of Econometrics and Statistics

One Brookings Drive

Campus Box 1133

St. Louis, MO 63130-4899

United States

SCHOLARLY PAPERS

15

DOWNLOADS

886

SSRN CITATIONS
Rank 39,914

SSRN RANKINGS

Top 39,914

in Total Papers Citations

13

CROSSREF CITATIONS

4

Scholarly Papers (15)

1.

Analysis of Multi-Factor Affine Yield Curve Models

Number of pages: 35 Posted: 21 Oct 2008
Siddhartha Chib and Bakhodir Ergashev
Washington University in St. Louis - John M. Olin Business School and EY
Downloads 292 (116,603)
Citation 6

Abstract:

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Term structure, Yield curve, No-arbitrage condition, Markov chain Monte Carlo, Simulated annealing, Square-root filter, Forecasting

2.

Winners from Winners: A Tale of Risk Factors

Number of pages: 41 Posted: 17 Nov 2019 Last Revised: 13 Apr 2020
Siddhartha Chib, Dashan Huang, Lingxiao Zhao and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Singapore Management University - Lee Kong Chian School of Business, Washington University in St. Louis, College of Arts & Sciences, Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 198 (171,189)

Abstract:

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Model comparison, Factor models, Anomaly, Discount factor, Portfolio analysis

3.

Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths

FRB of St. Louis Working Paper No. 2004-030A
Number of pages: 31 Posted: 29 Jul 2005
Siddhartha Chib and Michael Dueker
Washington University in St. Louis - John M. Olin Business School and Russell Investments
Downloads 188 (179,428)
Citation 4

Abstract:

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Regime switching, Markov Chain Monte Carlo, nonlinear state space

4.

On Comparing Asset Pricing Models

Journal of Finance, Forthcoming
Number of pages: 32 Posted: 07 May 2019
Siddhartha Chib, Xiaming Zeng and Lingxiao Zhao
Washington University in St. Louis - John M. Olin Business School, Independent and Washington University in St. Louis, College of Arts & Sciences, Department of Economics
Downloads 119 (260,942)
Citation 8

Abstract:

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Bayesian model comparison, marginal likelihood, risk factors

5.

Returns to Compulsory Schooling in Britain: Evidence from a Bayesian Fuzzy Regression Discontinuity Analysis

IZA Discussion Paper No. 5564
Number of pages: 27 Posted: 21 Mar 2011
Siddhartha Chib and Liana Jacobi
Washington University in St. Louis - John M. Olin Business School and University of Melbourne - Faculty of Business and Economics
Downloads 78 (343,691)

Abstract:

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Bayesian inference, causal effects, imperfect compliance, natural experiment, principal stratification, regression discontinuity, returns to schooling

6.

Bayesian Estimation and Comparison of Conditional Moment Models

FRB of Philadelphia Working Paper No. 19-51
Number of pages: 24 Posted: 12 Dec 2019
Siddhartha Chib, Minchul Shin and Anna Simoni
Washington University in St. Louis - John M. Olin Business School, University of Illinois and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 9 (653,500)
Citation 1

Abstract:

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Bayesian inference, Bernstein-von Mises theorem, Conditional moment restrictions, Exponentially tilted empirical likelihood, Marginal likelihood, Misspeci�cation, Posterior consistency

7.

High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗

FRB of Philadelphia Working Paper No. 20-35
Number of pages: 53 Posted: 23 Sep 2020
Siddhartha Chib, Minchul Shin and Tan Fei
Washington University in St. Louis - John M. Olin Business School, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Zhejiang University - College of Economics
Downloads 2 (708,603)

Abstract:

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Bayesian inference, MCMC, Metropolis-Hastings, Marginal likelihood, Tailored

8.

Stochastic Volatility with Leverage: Fast Likelihood Inference

Nuffield College, Oxford Economics Working Paper No. 2004-W19
Posted: 07 Sep 2004
University of Tokyo, Washington University in St. Louis - John M. Olin Business School, Harvard University and Bank for International Settlements (BIS) - Monetary and Economic Department

Abstract:

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Leverage effect, Markov chain Monte Carlo, Mixture sampler, Stochastic volatility, Stock returns

9.

Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models

Posted: 28 Dec 2000
Siddhartha Chib, Neil Shephard and Federico Nardari
Washington University in St. Louis - John M. Olin Business School, Harvard University and University of Melbourne - Department of Finance

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Bayes factor, Markov chain monte carlo, marginal likelihood, mixture models, particle filters, simulation based inference, stochastic volatility

10.

Analysis of High Dimensional Multivariate Stochastic Volatility Models

Washington University, Olin Working Paper No. 98-11
Posted: 18 Aug 1999
Siddhartha Chib, Federico Nardari and Neil Shephard
Washington University in St. Louis - John M. Olin Business School, University of Melbourne - Department of Finance and Harvard University

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11.

MCMC Methods for Fitting and Comparing Multinomial Response Models

OLIN-97-15
Posted: 14 Mar 1998
Siddhartha Chib, Edward Greenberg and Yuxin Chen
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis and New York University (NYU) - Department of Marketing

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12.

Stochastic Volatility: Likelihood Inference and Comparison with Arch Models

Posted: 15 Oct 1996
Sangjoon Kim, Neil Shephard and Siddhartha Chib
affiliation not provided to SSRN, Harvard University and Washington University in St. Louis - John M. Olin Business School

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13.

Analysis of Multivariate Probit Models

OLIN-96-37
Posted: 08 Oct 1996
Siddhartha Chib and Edward Greenberg
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis

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14.

Posterior Simulation and Model Choice in Longitudinal Generalized Linear Models

Posted: 01 Oct 1996
Siddhartha Chib, Edward Greenberg and Rainer Winkelmann
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis and University of Zurich - Statistics and Empirical Economic Research

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15.

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

Number of pages: 48
Siddhartha Chib, Minchul Shin and Fei Tan
Washington University in St. Louis - John M. Olin Business School, University of Illinois and Saint Louis University
Downloads 0

Abstract:

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Bayesian inference, Marginal likelihood, Tailored proposal densities, Random blocks, Student-t shocks, Stochastic volatility.