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Calculating posterior distributiom and model estimates in Markov mixture models

Chib, Siddhartha - In: Journal of econometrics 75 (1996) 1, pp. 79-98

Persistent link: https://www.econbiz.de/10006796312

Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models

Chib, Siddhartha; Greenberg, Edward - In: Journal of econometrics 68 (1995) 2, pp. 339-360

Persistent link: https://www.econbiz.de/10006797941

Bayes regression with autoregressive errors: A Gibbs sampling approach

Chib, Siddhartha - In: Journal of econometrics 58 (1993) 3, pp. 275-294

Persistent link: https://www.econbiz.de/10006805269

Accept-reject Metropolis-Hastings sampling and marginal likelihood estimation

Chib, Siddhartha; Jeliazkov, Ivan - In: Statistica Neerlandica : journal of the Netherlands … 59 (2005) 1, pp. 30-44

Persistent link: https://www.econbiz.de/10006426464

Markov Chain Monte Carlo Simulation Methods in Econometrics

Chib, Siddhartha; Greenberg, Edward - In: Econometric Theory 12 (1996) 03, pp. 409-431

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical...

Persistent link: https://www.econbiz.de/10005104581

Bayes regression with autoregressive errors : A Gibbs sampling approach

Chib, Siddhartha - In: Journal of Econometrics 58 (1993) 3, pp. 275-294

Persistent link: https://www.econbiz.de/10005052751

Accept-reject Metropolis-Hastings sampling and marginal likelihood estimation

Chib, Siddhartha; Jeliazkov, Ivan - In: Statistica Neerlandica 59 (2005) 1, pp. 30-44

Persistent link: https://www.econbiz.de/10005676292

Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"

Chib, Siddhartha; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2001

Persistent link: https://www.econbiz.de/10005730274

Stochastic volatility: likelihood inference and comparison with ARCH models.

Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha - Economics Group, Nuffield College, University of Oxford

Persistent link: https://www.econbiz.de/10005730276

Stochastic volatility with leverage: fast likelihood inference

Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; … - Economics Group, Nuffield College, University of Oxford - 2004

Kim, Shephard and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a very fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which limited its scope for applications. Despite this, their basic method has been...

Persistent link: https://www.econbiz.de/10005730293