Bayesian variable selection for the seemingly unrelated regression models with a large number of predictors

DOI10.14490/JJSS.41.187zbMATH Open1403.62034OpenAlexW2088081546MaRDI QIDQ4905028FDOQ4905028

Authors: Tomohiro Ando 

Publication date: 14 February 2013

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=41_187&screenID=AF06S010&noVol=41&noIssue=2

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zbMATH Keywords

reversible jump Markov chain Monte Carloseemingly unrelated regressionBayesian estimationdirect Monte Carlo

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Cited In (10)

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• Bayesian semiparametric seemingly unrelated regression
• Hierarchical Bayesian analysis of the seemingly unrelated regression and simultaneous equations models using a combination of direct Monte Carlo and importance sampling techniques
• Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix
• Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+
• Sparse seemingly unrelated regression modelling: applications in finance and econometrics
• Robust Bayesian seemingly unrelated regression model
• Bayesian methods for regression using surrogate variables
• A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
• Variable selection in seemingly unrelated regressions with random predictors

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