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econ.EM2026
Testing for Endogeneity: A Moment-Based Bayesian Approach
Siddhartha Chib, Minchul Shin, Anna Simoni
A standard assumption in the Bayesian estimation of linear regression models is that the regressors are exogenous in the sense that they are uncorrelated with the model error term.…
econ.EM2025
Learning the Macroeconomic Language
Siddhartha Chib, Fei Tan, Zhixun Zhang
We show how state-of-the-art large language models (LLMs) can be trained effectively on limited historical data for macroeconomic forecasting. We estimate a dynamic stochastic gene…
econ.EM2024
Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler
Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture samp…