Bayesian factor-adjusted sparse regression

DOI10.1016/J.JECONOM.2020.06.012OpenAlexW3209921031MaRDI QIDQ2155305FDOQ2155305

Authors: Bai Jiang, Qiang Sun, 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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Cited In (5)

• Bayesian Factor-adjusted Sparse Regression
• Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
• Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+
• Factor-Adjusted Regularized Model Selection
• Sparse factor model based on trend filtering

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