On the determinants of the 2008 financial crisis: a Bayesian approach to the selection of groups and variables

DOI10.1515/snde-2016-0107OpenAlexW2748922231MaRDI QIDQ2691728

Kuo-Jung Lee, Ray-Bing Chen, Yi-Chi Chen, Chi-hsiang Chu

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0107

zbMATH Keywords

group sparsityfinancial crisesBayesian variable selectiongroup-wise Gibbs sampler

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Bayesian inference (62F15)

Uses Software

• BMS

Cites Work

• Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem
• Stochastic matching pursuit for Bayesian variable selection
• Markov chain Monte Carlo: can we trust the third significant figure?
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Optimal predictive model selection.
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Fixed-Width Output Analysis for Markov Chain Monte Carlo
• Mixtures of g Priors for Bayesian Variable Selection
• Bayesian Model Averaging for Linear Regression Models
• A Bayesian Variable-Selection Approach for Analyzing Designed Experiments with Complex Aliasing
• Bayesian variable selection with related predictors
• Benchmark priors for Bayesian model averaging.
• A review of Bayesian variable selection methods: what, how and which

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