Open Access
December 2017 Variable Selection in Seemingly Unrelated Regressions with Random Predictors
David Puelz, P. Richard Hahn, Carlos M. Carvalho
Bayesian Anal. 12(4): 969-989 (December 2017). DOI: 10.1214/17-BA1053


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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David Puelz. P. Richard Hahn. Carlos M. Carvalho. "Variable Selection in Seemingly Unrelated Regressions with Random Predictors." Bayesian Anal. 12 (4) 969 - 989, December 2017.


Published: December 2017
First available in Project Euclid: 7 March 2017

zbMATH: 1384.62262
MathSciNet: MR3724975
Digital Object Identifier: 10.1214/17-BA1053

Keywords: decoupling shrinkage and selection , penalized utility selection , seemingly unrelated regressions

Vol.12 • No. 4 • December 2017
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