Bayesian Analysis

Variable Selection in Seemingly Unrelated Regressions with Random Predictors

David Puelz, P. Richard Hahn, and Carlos M. Carvalho

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This paper considers linear model selection when the response is vector-valued and the predictors, either all or some, are randomly observed. We propose a new approach that decouples statistical inference from the selection step in a “post-inference model summarization” strategy. We study the impact of predictor uncertainty on the model selection procedure. The method is demonstrated through an application to asset pricing.

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Bayesian Anal., Volume 12, Number 4 (2017), 969-989.

First available in Project Euclid: 7 March 2017

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decoupling shrinkage and selection seemingly unrelated regressions penalized utility selection

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Puelz, David; Hahn, P. Richard; Carvalho, Carlos M. Variable Selection in Seemingly Unrelated Regressions with Random Predictors. Bayesian Anal. 12 (2017), no. 4, 969--989. doi:10.1214/17-BA1053.

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