Variable Selection in Seemingly Unrelated Regressions with Random Predictors

2016/05/29 by Puelz, David, Hahn, P. Richard, Carvalho, Carlos
#FOS: Computer and information sciences #Methodology (stat.ME)

paper · doi:10.48550/arxiv.1605.08963

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.

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