Selected Bibliography for Robert E. McCulloch

Katherine Dusak Miller Professor of Econometrics and Statistics

"**A Semi-Parametric Bayesian Approach to the Instrumental Variable Problem**." Timothy G. Conley, Christian B. Hansen, Robert E. McCulloch and Peter E. Rossi; *Journal of Econometrics*, 2008, *144*(1), pp. 276-305.
**A Direct Approach to Data Fusion**." Zvi Gilula, Robert E. McCulloch and Peter E. Rossi; *Journal of Marketing Research*, 2006, *43*(1), pp. 73-83.
**Bayesian Treed Models**." Hugh Chipman, Edward I George and Robert McCulloch; *Machine Learning*, 2002, *48*(1-3), pp. 299-320.
**Comment on 'Spline Adaptation in Extended Linear Models'**." Hugh A. Chipman, Edward I. George and Robert E. McCulloch; *Statistical Science*, 2002, *17*(1), pp. 20-22.
**Nonlinearity in High-Frequency Financial Data and Hierarchical Models**." Robert E. McCulloch and Ruey S. Tsay; *Studies in Nonlinear Dynamics and Econometrics*, 2001, *5*(1), pp. 1-17.
**Hierarchical Priors for Bayesian Cart Shrinkage**." Hugh Chipman and Robert E. McCulloch; *Statistics and Computing*, 2000, *10*(1), pp. 17-24.
**Modeling Covariance Matrices in Terms of Standard Deviations and Correlations, with Application to Shrinkage**." John Barnard, Robert McCulloch and Xiao-Li Meng; *Statistica Sinica*, 2000, *10*(4), pp. 1281-311.
**Reply to Nobile**." Robert E. McCulloch and Peter E. Rossi; *Journal of Econometrics*, 2000, *99*(2), pp. 347-48.
**A Bayesian Analysis of the Multinomial Probit Model with Fully Identified Parameters**." Robert E. McCulloch, Nicholas G. Polson and Peter E. Rossi; *Journal of Econometrics*, 2000, *99*(1), pp. 173-93.
**Account-Level Modeling for Trade Promotion: An Application of a Constrained Parameter Hierarchical Model**." Peter Boatwright, Robert McCulloch and Peter Rossi; *Journal of the American Statistical Association*, 1999, *94*(448), pp. 1063-73.
**Bayesian Inference on Network Traffic Using Link Count Data: Comment**." Robert McCulloch; *Journal of the American Statistical Association*, 1998, *93*(442), pp. 575.
**Bayesian Cart Model Search: Rejoinder**." Hugh A. Chipman, Edward I. George and Robert E. McCulloch; *Journal of the American Statistical Association*, 1998, *93*(443), pp. 957-60.
**Bayesian Cart Model Search**." Hugh A. Chipman, Edward I. George and Robert E. McCulloch; *Journal of the American Statistical Association*, 1998, *93*(443), pp. 935-48.
**Bayesian Inference for Periodic Regime-Switching Models**." Eric Ghysels, Robert E. McCulloch and Ruey S. Tsay; *Journal of Applied Econometrics*, 1998, *13*(2), pp. 129-43.
**Making Sense of a Forest of Trees**," Hugh A. Chipman, Edward I. George and Robert E. McCulloch, in S. Weisberg: *Computing Science and Statistics. Dimension Reduction, Computational Complexity and Information. Proceedings of the 30th Symposium on the Interface.* Fairfax Station, VA: Interface Foundation of North America, 1998, pp. 84-92 "**Comment on 'Bayesian Inference on Network Traffic Using Link Count Data'**." Robert McCulloch; *Journal of the American Statistical Association*, 1998, *93*(442), pp. 575-75.
**A Unified Approach to Estimating and Modeling Linear and Nonlinear Time Series**." C. W. S. Chen, R. E. McCulloch and R. S. Tsay; *Statistica Sinica*, 1997, *7*(2), pp. 451-72.
**Approaches for Bayesian Variable Selection**." E. I. George and R. E. McCulloch; *Statistica Sinica*, 1997, *7*(2), pp. 339-74.
**Adaptive Bayesian Wavelet Shrinkage**." Hugh A. Chipman, Eric D. Kolaczyk and Robert E. McCulloch; *Journal of the American Statistical Association*, 1997, *92*(440), pp. 1413-21.
**The Value of Purchase History Data in Target Marketing**." Peter E. Rossi, Robert E. McCulloch and Greg M. Allenby; *Marketing Science*, 1996, *15*(4), pp. 321-40.
**Bayesian Inference and Portfolio Efficiency**." Shmuel Kandel, Robert McCulloch and Robert F. Stambaugh; *Review of Financial Studies*, 1995, *8*(1), pp. 1-53.
**An Exact Likelihood Analysis of the Multinomial Probit Model**." Robert E. McCulloch and Peter E. Rossi; *Journal of Econometrics*, 1994, *64*(1-2), pp. 207-40.
**Variable Selection Via Gibbs Sampling**." Edward I. George and Robert E. McCulloch; *Journal of the American Statistical Association*, 1993, *88*(423), pp. 881-89.
**Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series**." Robert E. McCulloch and Ruey S. Tsay; *Journal of the American Statistical Association*, 1993, *88*(423), pp. 968-78.
*Bayesian Inference and Portfolio Efficiency*; Shmuel Kandel, Robert McCulloch and Robert F. Stambaugh; NBER Technical Working Paper No. t0134; Cambridge: National Bureau of Economic Research, 1993.
**On Obtaining Invariant Prior Distributions**." Edward I. George and Robert McCulloch; *Journal of Statistical Planning and Inference*, 1993, *37*(2), pp. 169-79.
**Bayes Factors for Nonlinear Hypotheses and Likelihood Distributions**." Robert E. McCulloch and Peter E. Rossi; *Biometrika*, 1992, *79*(4), pp. 663-76.
**A Bayesian Approach to Testing the Arbitrage Pricing Theory**." Robert McCulloch and Peter E. Rossi; *Journal of Econometrics*, 1991, *49*(1-2), pp. 141-68.
**A Multivariate Generalization of Quantile-Quantile Plots**." George S. Easton and Robert E. McCulloch; *Journal of the American Statistical Association*, 1990, *85*(410), pp. 376-86.
**Posterior, Predictive, and Utility-Based Approaches to Testing the Arbitrage Pricing Theory**." Robert McCulloch and Peter E. Rossi; *Journal of Financial Economics*, 1990, *28*(1-2), pp. 7-38.
**Local Model Influence**." Robert E. McCulloch; *Journal of the American Statistical Association*, 1989, *84*(406), pp. 473-78.
**Information and the Likelihood Function in Exponential Families**." Robert E. McCulloch; *American Statistician*, 1988, *42*(1), pp. 73-75.
**Added-Variable Plots in Linear Regression**." Bradford W. Johnson and Robert E. McCulloch; *Technometrics*, 1987, *29*(4), pp. 427-33.
**Some Remarks on Allocatory and Separatory Linear Discrimination**." Robert E. McCulloch; *Journal of Statistical Planning and Inference*, 1986, *14*(2-3), pp. 323-30.

http://dx.doi.org/10.1016/j.jeconom.2008.01.007

"**Bayesian Ensemble Learning** " Hugh A. Chipman, Edward I. George and Robert E. McCulloch, *Twentieth Annual Conference on Neural Information Processing Systems*, Vancouver, B.C.: 2006

http://search.epnet.com/login.aspx?direct=true&db=bth&an=19625414

** Bayesian Statistics and Marketing** Peter E. Rossi, Greg M. Allenby and Robert E. McCulloch; Hoboken, NJ: Wiley, 2005

http://springerlink.metapress.com/link.asp?id=qb0agq0cr8a4axnj

"http://projecteuclid.org/Dienst/UI/1.0/Summarize/euclid.ss/1023798997

"**Practical Implementation of Bayesian Model Selection**," Hugh Chipman, Edward I George and Robert McCulloch, in P. Lahiri: *Model Selection.* Beachwood, Ohio: Institute of Mathematical Statistics, 2001, pp. 67-116

http://www.bepress.com/snde/vol5/iss1/art1

"http://www.springerlink.com/link.asp?id=n855626517838463

"http://www3.stat.sinica.edu.tw/statistica/j10n4/j10n416/j10n416.htm

"http://dx.doi.org/10.1016/S0304-4076(00)00036-1

"http://dx.doi.org/10.1016/S0304-4076(00)00034-8

"**Bayesian Analysis of the Multinomial Probit Model**," Robert E. McCulloch and Peter E. Rossi, in R. Mariano, T. Schuermann and M. J. Weeks: *Simulation-Based Inference in Econometrics.* Cambridge; New York and Melbourne: Cambridge University Press, 2000, pp. 158-75

http://links.jstor.org/sici?sici=0162-1459%28199912%2994%3A448%3C1063%3AAMFTPA%3E2.0.CO%3B2-Y

"http://links.jstor.org/sici?sici=0162-1459%28199806%2993%3A442%3C575%3ABIONTU%3E2.0.CO%3B2-T

"http://links.jstor.org/sici?sici=0162-1459%28199809%2993%3A443%3C957%3ABCMSR%3E2.0.CO%3B2-V

"http://links.jstor.org/sici?sici=0162-1459%28199809%2993%3A443%3C935%3ABCMS%3E2.0.CO%3B2-3

"http://links.jstor.org/sici?sici=0883-7252%28199803%2F04%2913%3A2%3C129%3ABIFPRM%3E2.0.CO%3B2-9

"http://links.jstor.org/sici?sici=0162-1459%28199806%2993%3A442%3C575%3ABIONTU%3E2.0.CO%3B2-T

"http://www3.stat.sinica.edu.tw/statistica/j7n2/j7n211/j7n211.htm

"http://www3.stat.sinica.edu.tw/statistica/j7n2/j7n26/j7n26.htm

"http://links.jstor.org/sici?sici=0162-1459%28199712%2992%3A440%3C1413%3AABWS%3E2.0.CO%3B2-3

** Elementary Bayesian Statistics** Gordon Antelman, Albert Madansky and Robert E. McCulloch; Cheltenham, UK: Lyme NH, 1997

"**Two Approaches to Bayesian Model Selection with Applications**," Edward I George, Robert E. McCulloch and Ruey S. Tsay, in D. A. Berry, K. M. Chaloner and J. K. Geweke: *Bayesian Analysis in Statistics and Econometrics: Essays in Honor of Arnold Zellner.* New York: John Wiley, 1996, pp.

"**Stochastic Search Variable Selection**," Edward I George and Robert McCulloch, in W. R. Gilks, S. Richardson and D. J. Spiegelhalter: *Markov Chain Monte Carlo in Practice.* Boca Raton, Fla.: Chapman & Hall, 1996, pp. 203-14

"**Bayesian Cart**," Hugh Chipman, Edward I. George and Robert E. McCulloch, in L. Billard and N. I. Fisher: *Computing Science and Statistics. Graph -- Image -- Vision. Proceedings of the 28th Symposium on the Interface.* Fairfax Station, VA: Interface Foundation of North America, 1996, pp. 199-208

"**Bayes Factors for Testing the Equality of Covariance Matrix Eigenvalues**," Robert E. McCulloch and Peter Rossi, in J. C. Lee, W. O. Johnson and A. Zellner: *Modelling and Prediction : Honoring Seymour Geisser.* New York: Springer, 1996, pp. 305-14

http://links.jstor.org/sici?sici=0732-2399%281996%2915%3A4%3C321%3ATVOPHD%3E2.0.CO%3B2-7

"http://links.jstor.org/sici?sici=0893-9454%28199521%298%3A1%3C1%3ABIAPE%3E2.0.CO%3B2-T

"**Hierarchical Modelling of Consumer Heterogeneity: An Application to Target Marketing**," Greg M. Allenby, Robert E. McCulloch and Peter Rossi, in Kass and Singpurwalla: *Case Studies in Bayesian Statistics.* New York: Springer Verlag, 1995, pp. 323-50

"**Bayesian Inference of Trend- and Difference-Stationarity**." Robert E. McCulloch and Ruey S. Tsay; *Econometric Theory*, 1994, *10*(3-4), pp. 596-608.

** Bayesian Inference for Periodic Regime-Switching Models** Eric Ghysels, Ruey S. Tsay and Robert E. McCulloch; Série Scientifique = Scientific Series,; No. 94s-15; Montréal: CIRANO, 1994

"**Statistical Analysis of Economic Time Series Via Markov Switching Models**." Robert E. McCulloch and Ruey S. Tsay; *Journal of Time Series Analysis*, 1994, *15*, pp. 523-39.

"**Bayesian Analysis of Autoregressive Time Series Via the Gibbs Sampler**." Robert E. McCulloch and Ruey S. Tsay; *Journal of Time Series Analysis*, 1994, *15*, pp. 235-50.

** Is Household-Specific Targeting Worth It?** Peter E. Rossi, Robert E. McCulloch and Greg M. Allenby; Report ;; No. 94-118; Cambridge, Mass.: Marketing Science Institute, 1994

http://dx.doi.org/10.1016/0304-4076(94)90064-7

"http://links.jstor.org/sici?sici=0162-1459%28199309%2988%3A423%3C881%3AVSVGS%3E2.0.CO%3B2-M

"http://links.jstor.org/sici?sici=0162-1459%28199309%2988%3A423%3C968%3ABIAPFM%3E2.0.CO%3B2-6

http://papers.nber.org/papers/t0134

"**Bayesian Analysis of Threshold Autoregressive Processes with a Random Number of Regimes**," Robert E. McCulloch and Ruey S. Tsay, in M. E. Tarter and M. D. Lock: *Computing Science and Statistics. Proceedings of the 25th Symposium on the Interface.* Fairfax Station, VA: Interface Foundation of North America, 1993, pp. 253-62

http://dx.doi.org/10.1016/0378-3758(93)90086-L

** Bayes Factors for Nonlinear Hypotheses and Likelihood Distributions**; Robert E. McCulloch and Peter E. Rossi; Working paper series.; Economics and econometrics ;; 91-97;; Chicago: University of Chicago Graduate School of Business, 1992.

** An Exact Likelihood Analysis of the Multinomial Probit Model**; Robert E. McCulloch and Peter E. Rossi; Working paper series.; Economics and econometrics ;; 91-102;; Chicago: University of Chicago Graduate School of Business, 1992.

http://links.jstor.org/sici?sici=0006-3444%28199212%2979%3A4%3C663%3ABFFNHA%3E2.0.CO%3B2-H

** Bayesian Inference and Portfolio Efficiency**; Shmuel Kandel, Robert E. McCulloch and Robert F. Stambaugh; Working paper series.; Economics and econometrics ;; 91-99;; Chicago: University of Chicago Graduate School of Business, 1991.

** Bayesian Inference and Portfolio Efficiency**; Shmuel Kandel, Robert E. McCulloch and Robert F. Stambaugh; Working paper series no. 320.; Chicago: Center for Research in Security Prices Graduate School of Business University of Chicago, 1991.

http://dx.doi.org/10.1016/0304-4076(91)90012-3

"http://links.jstor.org/sici?sici=0162-1459%28199006%2985%3A410%3C376%3AAMGOQP%3E2.0.CO%3B2-4

"http://dx.doi.org/10.1016/0304-405X(90)90046-3

"http://links.jstor.org/sici?sici=0162-1459%28198906%2984%3A406%3C473%3ALMI%3E2.0.CO%3B2-O

"**Fuzzy Quantile-Quantile Plots for Multivariate Data**," George S. Easton and Robert E. McCulloch, in *Asa Proceedings of the Business and Economic Statistics Section.* Alexandria, VA: American Statistical Association, 1989, pp. 30-39

** A Bayesian Approach to Testing the Arbitrage Pricing Theory**; Robert E. McCulloch and Peter E. Rossi; Working paper series.; Economics and econometrics ;; 89-74;; Chicago: H.G.B. Alexander Foundation, 1989.

** Posterior, Predictive, and Utility-Based Approaches to Testing the Arbitrage Pricing Theory**; Robert E. McCulloch and Peter E. Rossi; Working paper series ;; W.P. 269; Chicago: Center for Research in Security Prices Graduate School of Business University of Chicago, 1989.

http://links.jstor.org/sici?sici=0003-1305%28198802%2942%3A1%3C73%3AIATLFI%3E2.0.CO%3B2-3

** Testing the Arbitrage Pricing Theory : Predictive Distributions, Posterior Distributions and Odds Ratios**; Robert E. McCulloch and Peter E. Rossi; Working paper series no. 251.; Chicago: Center for Research in Security Prices Graduate School of Business University of Chicago, 1988.

** Local Model Influence**; Robert E. McCulloch; Working paper series.; Economics and econometrics ;; 87-51;; Chicago: H.G.B. Alexander Foundation, 1987.

http://links.jstor.org/sici?sici=0040-1706%28198711%2929%3A4%3C427%3AAPILR%3E2.0.CO%3B2-9

"http://dx.doi.org/10.1016/0378-3758(86)90170-9

** Model Influence in Bayesian Statistics (Information Theory, Local Influence, Prediction);** Robert Edward McCulloch; Ph.D Dissertation, University Of Minnesota, 1985.

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