Bayesian factor-adjusted sparse regression

DOI10.1016/j.jeconom.2020.06.012OpenAlexW3209921031MaRDI QIDQ2155305

Qiang Sun, Bai Jiang, Jianqing Fan

Publication date: 15 July 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.09741

zbMATH Keywords

model selectionfactor modelposterior contractionBayesian sparse regression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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