Variable Selection in Seemingly Unrelated Regressions with Random Predictors
Bayesian Analysis, Volume 12, Number 4 (2017), 969-989. https://projecteuclid.org/euclid.ba/1488855633
21 Pages Posted: 29 May 2016 Last revised: 15 Oct 2018
Date Written: 2017
This paper considers linear model selection when the response is vector-valued and the predictors 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.
JEL Classification: C11, C61
Suggested Citation: Suggested Citation