Sparse seemingly unrelated regression modelling: applications in finance and econometrics

DOI10.1016/j.csda.2010.03.028zbMath1284.91461OpenAlexW2068558450MaRDI QIDQ2445741

Hao Wang

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.03.028

zbMATH Keywords

Markov chain Monte Carlomarginal likelihoodvariable selectiondynamic linear modelhyper-inverse Wishart distributionGaussian graphical model

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Statistical methods; economic indices and measures (91B82)

Related Items (18)

Scaling it up: stochastic search structure learning in graphical models ⋮ The G-Wishart Weighted Proposal Algorithm: Efficient Posterior Computation for Gaussian Graphical Models ⋮ Bayesian Variable Selection for Gaussian Copula Regression Models ⋮ Gaussian graphical modeling for spectrometric data analysis ⋮ Robust inference for seemingly unrelated regression models ⋮ Some finite sample results for a system of seemingly unrelated regression equations ⋮ Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+ ⋮ Block Structured Graph Priors in Gaussian Graphical Models ⋮ Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Model averaging for sparse seemingly unrelated regression using Bayesian networks among the errors ⋮ Efficient Gaussian graphical model determination under \(G\)-Wishart prior distributions ⋮ Modeling systemic risk with Markov switching graphical SUR models ⋮ Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations ⋮ Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies ⋮ Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions ⋮ Bayesian nonparametric sparse VAR models ⋮ Joint High‐Dimensional Bayesian Variable and Covariance Selection with an Application to eQTL Analysis ⋮ A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors

Uses Software

• tsbridge
• HdBCS

Cites Work

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