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

19

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SSRN CITATIONS
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70

CROSSREF CITATIONS

4

Scholarly Papers (19)

1.

Winners from Winners: A Tale of Risk Factors

Number of pages: 51 Posted: 17 Nov 2019 Last Revised: 15 Jun 2022
Siddhartha Chib, Lingxiao Zhao and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Peking University HSBC Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 781 (63,668)
Citation 10

Abstract:

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

2.

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 331 (179,163)
Citation 15

Abstract:

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

3.

Asset Pricing with Slope Factors: Model and Evidence of Outperformance

Number of pages: 61 Posted: 22 Jul 2022
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - Department of Economics, University of Missouri, Columbia and Independent
Downloads 298 (200,229)
Citation 1

Abstract:

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factor risk premia; firm level characteristics; marginal likelihood; pricing test; stochastic discount factor; risk factors; out-of-sample sharpe-ratio

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 Peking University HSBC Business School
Downloads 297 (200,962)
Citation 34

Abstract:

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Bayesian model comparison, marginal likelihood, risk factors

Factor Selection and Structural Breaks

Number of pages: 42 Posted: 16 Apr 2024
Siddhartha Chib and Simon Smith
Washington University in St. Louis - John M. Olin Business School and Board of Governors of the Federal Reserve System
Downloads 172 (338,114)

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Model comparison, Factor models, Structural breaks, Anomaly, Bayesian analysis, Discount factor, Portfolio analysis, Sparsity.

Factor Selection and Structural Breaks

FEDS Working Paper No. 2024-37
Number of pages: 47 Posted: 11 Jun 2024
Siddhartha Chib and Simon Smith
Washington University in St. Louis - John M. Olin Business School and Board of Governors of the Federal Reserve System
Downloads 122 (448,363)

Abstract:

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Model comparison, Factor models, Structural breaks, Anomaly, Bayesian analysis, Discount factor, Portfolio analysis, Sparsity

6.

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 Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 248 (241,084)
Citation 4

Abstract:

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Regime switching, Markov Chain Monte Carlo, nonlinear state space

7.

Slope Factors Outperform: Evidence from a Large Comparative Study

Number of pages: 60 Posted: 23 Nov 2021 Last Revised: 15 Feb 2023
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - Department of Economics, University of Missouri, Columbia and Independent
Downloads 204 (290,369)
Citation 1

Abstract:

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Factor risk premia; firm level characteristics; marginal likelihood; pricing test; stochastic discount factor; risk factors

8.

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 Last Revised: 18 Nov 2021
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 108 (488,636)

Abstract:

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

9.

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

Number of pages: 48 Posted: 13 Nov 2020
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 79 (597,019)
Citation 2

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Bayesian Inference, Marginal Likelihood, Tailored Proposal Densities, Random Blocks, Student-T Shocks, Stochastic Volatility

10.

Bayesian Estimation and Comparison of Conditional Moment Models

FRB of Philadelphia Working Paper No. 19-51
Number of pages: 24 Posted: 12 Dec 2019 Last Revised: 13 Jan 2020
Siddhartha Chib, Minchul Shin, Anna Simoni 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)University of Angers - French National Center for Scientific Research (CNRS)
Downloads 48 (759,319)
Citation 12

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

11.

Scalable Estimation of Multinomial Response Models with Random Consideration Sets

Kilts Center at Chicago Booth Marketing Data Center Paper
Number of pages: 62 Posted: 26 Aug 2024
Siddhartha Chib and Kenichi Shimizu
Washington University in St. Louis - John M. Olin Business School and University of Alberta
Downloads 26 (933,990)

Abstract:

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Multinomial response, Bayesian computation, Dirichlet process mixture, Markov chain Monte Carlo (MCMC)

12.

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 22 (974,051)

Abstract:

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

13.

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

14.

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

15.

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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16.

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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17.

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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18.

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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19.

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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