CURRICULUM VITAE
Robert E. McCulloch

September, 2006

Date of Birth: January 8, 1959
Citizenship: Canada

Business address: 

Graduate School of Business
University of Chicago
5807 South Woodlawn Avenue
Chicago, Illinois 60637

773/702-7315
fax: 773/702-0458

www: http://faculty.chicagogsb.edu/robert.mcculloch/research/
email: robert.mcculloch@chicagogsb.edu

Education:

BS (Mathematics and Economics) 1981, University of Toronto
MS (Statistics) 1984, University of Minnesota
Ph.D. (Statistics) 1985, University of Minnesota

Elected Fellow, American Statistical Association, June 1997.

Areas of Research Interest:

Bayesian methodology and applications.

Positions Held:

1995-present:
Professor of Econometrics and Statistics, University of Chicago Graduate School of Business
1989-1994:
Associate Professor of Statistics, University of Chicago Graduate School of Business
1985-1988:
Assistant Professor of Statistics, University of Chicago Graduate School of Business

Professional Activities:

Associate Editor: Electronic Journal of Statistics, Statistical Science

Working Papers:

Bayesian Non-parametric Modeling for Causal Inference
(with Jennifer Hill)

A Non-parametric Bayesian Approach to the Instrumental Variable Problem
(with Tim Conley, Chris Hansen, and Peter Rossi)

BART: Bayesian Additive Regression Trees
(with Hugh Chipman and Edward George)

Note: BART is function "bart" in the R-package BayesTree available
at http://www.r-project.org/  (click on "CRAN", pick a mirror and then click on "packages")

On the Determination of General Scientific Models
with Application to Asset Pricing
(with Ron Gallant)

Reversal of Fortune: a statistical analysis of penalty calls
in the National Hockey League
(with Jason Abrevaya)

BMM: A Simple, General Algorithm for Drawing from Densities
(with John Barnard and Xiao-Li Meng)

Publications:

Bayesian Ensemble Learning  (2006), Neural Information Processing Systems.
(with Hugh Chipman and Edward George)
This is one of just 25 papers selected from 833 submissions for full oral presentation 
at this prestigious machine learning conference.

"A Direct Approach to Data Fusion," (2006)
with Z. Gilula and P. Rossi, Journal of Marketing Research.

Bayesian Statistics and Marketing (2005), Wiley
(with Greg Allenby and Peter Rossi)

"Bayesian Treed Generalized Linear Models", (2003)
forthcomin in Bayesian Statistics 7.

"Bayesian Treed Models", (2002),
Machine Learning, 48, 299-320.
(with Hugh Chipman and Edward George)

"Practical Implementation of Bayesian Model Selection", (2001)
In Model Selection (P. Lahiri, ed.), 38, 67-116,  IMS Lecture Notes.
(with High Chipman and Edward George)

"Nonlinearity in High Frequency Financial Data and Hierarchical Models", (2001)
Studies in Nonlinear Dynamics and Econometrics, Vol. 5.
(with Ruey Tsay)

"Modelling Covariance Matrices in Terms of Standard Deviations and Correlations, with Application To Shrinkage," (2000),
Statistica Sinica,  10, 4.
(with John Barnard and Xiao-Li Meng)

"Hierarchical Priors for Bayesian CART Shrinkage," (2000),
Statistics and Computing, 10, 17-24.
(with Hugh Chipman and Edward George)

"Bayesian Analysis of the Multinomial Probit Model with Fully Identified Parameters," (2000),
Journal of Econometrics, 99, 173-193.
(with Peter Rossi and Nicholas Polson)

"Bayesian Analysis of Multinomial Probit Model," (2000),
forthcoming, Simulation-Based Inference in Econometrics,
(Mariano, Weeks and Schuermann, eds), Cambridge: Cambridge University.
(with Peter Rossi)

"Account-Level Modeling for Trade Promotion: An Application of a Constrained Parameter Hierarchical Model" (1999),
Journal of the American Statistical Association , 94, 1063-1073.
(with Peter Boatwright and Peter Rossi)

"Bayesian CART Model Search," (1998),
Journal of the American Statistical Society, 93, 935-960.
(with Hugh Chipman and Edward George)

"Bayesian Inference for Periodic Regime-Switching Models," (1998),
Journal of Applied Econometics, 13, 2.
(with Eric Ghysels and Ruey Tsay)

"Approaches for Bayesian variable selection," (1997),
Statistica Sinica, 7,2, 339-374.
(with Edward George)

"Adaptive Bayesian Wavelet Shrinkage, (1997),
Journal of the American Statistical Society, 92, 440, 1413-1421.
(with Hugh Chipman and Eric Kolyczyk)

"A Unified Approach to Estimating and Modelling Linear and Nonlinear Time Series," (1997),
Statistica Sinica, 7,2, 451-472.
(with Kathy Chen and Ruey Tsay)

"On the Value of Household Information in Target Marketing," (1996),
Marketing Science (1996), 15, 321-340.
(with Greg Allenby and Peter Rossi)

"Stochastic Search Variable Selection.'' (1996),
In " Practical Markov Chain Monte Carlo", edited by Gilks, Smith, and Spiegalhalter. Chapman and Hall.
(with Edward George)

"Bayes Factors for Testing the Equality of Covariance Matrix Eigenvalues", (1996),
In "Modelling and Prediction," W. Johnson (ed), New York: Springer, 305-314
(with Peter Rossi).

"Two approaches to Bayesian model selection with applications.'' (1996),
In "Bayesian Analysis in Statistics and Econometrics: Essays in Honor of Arnold Zellner," eds. D. A.
Berry, K. M. Chaloner and J. K. Geweke, John Wiley: New York.
(with Edward George and Ruey Tsay)

"Bayesian Inference and Portfolio Efficiency," (1995),
Revue of Financial Studies, 8, 1-53.
(with Kandel, S., and Stambaugh, R.)

"Hierarchical Modelling of Consumer Heterogeneity: An Application to Target Marketing," (1995),
In " Case Studies in Bayesian Statistics ", Kass and Singpurwalla (eds), New York: Springer Verlag., 323-350.
(with Greg Allenby and Peter Rossi)

"An Exact Likelihood Analysis of the Multinomial Probit Model," (1994),
Journal of Econometrics, 64, 207-240.
(with Peter Rossi)

"Bayesian Inference of Trend and Difference Stationarity," (1994),
Econometric Theory, 10, 596-608.
(with Ruey Tsay)

"Bayesian Analysis of Autoregressive Time Series via the Gibbs Sampler," (1994),
Journal of Times Series Analysis, 15, 235-250.
(with Ruey Tsay)

"Statistical Analysis of Economic Time Series via Markov Switching Models," (1994),
Journal of Times Series Analysis, 15, 523-539.
(with Ruey Tsay)

"On Obtaining Invariant Priors," (1993),
Journal of Statistical Planning and Inference, 37, 169-179.
(with Edward George)

"Bayesian Analysis of Threshold Autoregressive Models with a Random Number of Regimes," (1993),
Proceedings, 25th Interface meeting between Computer Science and Statistics.
(with Ruey Tsay)

"Fitting Regression Models with Unknown Transformations Using Dynamic Graphics,'' (1993),
The Statistician, 42, 153-160.

"Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series," (1993),
Journal of the American Statistical Association, 88, 968-978.
(with Ruey Tsay)

"Variable selection via Gibbs sampling," (1993),
Journal of the American Statistical Association}, 88, 881-889.
(with Edward George)

"Bayes Factors for Nonlinear Hypotheses and Likelihood Distributions," (1992),
Biometrika, 79, 663-676.
(with Peter Rossi)

"A Bayesian Approach to Testing the Arbitrage Pricing Theory," (1991),
Journal of Econometrics, 49, 141-168.
(with Peter Rossi)

"Posterior, Predictive, and Utility-Based Approaches to Testing the Arbitrage Pricing Theory," (1990),
Journal of Financial Economics, 28, 7-38.
(with Peter Rossi)

"A Multivariate Generalization of Quantile-Quantile Plots," (1990),
Journal of the American Statistical Association, 85, 376-386.
(with Geoge Easton)

"Local Model Influence,'' (1989),
Journal of the American Statistical Association, 84, 473-478.

Information and the Likelihood Function in Exponential Families," (1988),
The American Statistician, 42, 73-75.

"Added Variable Plots in Linear Regression," (1987),
Technometrics, 29, 427-433.
(with Brad Johnson)

"Some Remarks on Allocatory and Separatory Linear Discrimination", (1986),
Journal of Statistical Planning and Inference, 14, 323-330.