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