Variable Selection in Seemingly Unrelated Regressions with Random Predictors
Methodology
2016-06-07 v3
Abstract
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.
Keywords
Cite
@article{arxiv.1605.08963,
title = {Variable Selection in Seemingly Unrelated Regressions with Random Predictors},
author = {David Puelz and P. Richard Hahn and Carlos Carvalho},
journal= {arXiv preprint arXiv:1605.08963},
year = {2016}
}