Variable selection in seemingly unrelated regressions with random predictors. (English) Zbl 1384.62262

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

Bayesian Anal. 12, No. 4, 969-989 (2017).

Summary: 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.

MSC:

62J07	Ridge regression; shrinkage estimators (Lasso)
62F15	Bayesian inference
62P20	Applications of statistics to economics

Keywords:

decoupling shrinkage and selection; seemingly unrelated regressions; penalized utility selection