24 citations · 24 across the 6 of their papers we have counts for
7 papers
Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels
Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori
We develop a dynamic factor stochastic volatility-in-mean (SVM) specification for vector autoregressions (VARs) that embeds an SVM component within a dynamic factor stochastic vola…
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.…
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…
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…
Bayesian Estimation and Comparison of Conditional Moment Models
Siddhartha Chib, Minchul Shin, Anna Simoni
We consider the Bayesian analysis of models in which the unknown distribution of the outcomes is specified up to a set of conditional moment restrictions. The nonparametric exponen…
Bayes factor consistency
Siddhartha Chib, Todd A. Kuffner
Good large sample performance is typically a minimum requirement of any model selection criterion. This article focuses on the consistency property of the Bayes factor, a commonly…