Variable Selection in the Presence of Factors: A Model Selection Perspective-Reference-Cited by-同舟云学术

Variable Selection in the Presence of Factors: A Model Selection Perspective

Published:2021-04-20 Issue: Volume: Page:1-11
ISSN:0162-1459
Container-title:Journal of the American Statistical Association
language:en
Short-container-title:Journal of the American Statistical Association

Author:

García-Donato Gonzalo¹²,Paulo Rui³^ORCID

Affiliation:

1. Department of Economics and Finance, Universidad de Castilla-La Mancha, Ciudad Real, Spain

2. Instituto de Desarrollo Regional, Albacete, Spain

3. CEMAPRE/REM and Department of Mathematics, Lisbon School of Economics and Management, Universidade de Lisboa, Lisboa, Portugal

Funder

National Science Foundation

Ministerio de Ciencia e Innovación

Consejeria de Educacion, Cultura y Deportes de la Junta de Comunidades de Castilla-La Mancha

FCT/MCTES

FCT

Fundação para a Ciência e a Tecnologia

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/01621459.2021.1889565

Reference30 articles.

1. A new look at the statistical model identification

2. Criteria for Bayesian model choice with application to variable selection

3. Extending conventional priors for testing general hypotheses in linear models

4. Berger, J. O., and Pericchi, L. R. (2001), Objective Bayesian Methods for Model Selection: Introduction and Comparison, Lecture Notes–Monograph Series (Vol. 38), Beachwood, OH: Institute of Mathematical Statistics, pp. 135–207.

5. A Bayesian Approach to Subgroup Identification

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