Variable selection in seemingly unrelated regressions with random predictors

DOI10.1214/17-BA1053zbMath1384.62262arXiv1605.08963MaRDI QIDQ1699699

P. Richard Hahn, David W. Puelz, Carlos Marinho Carvalho

Publication date: 23 February 2018

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.08963

zbMATH Keywords

seemingly unrelated regressionsdecoupling shrinkage and selectionpenalized utility selection

Mathematics Subject Classification ID

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

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