Sparse seemingly unrelated regression modelling: Applications in finance and econometrics

@article{Wang2010SparseSU,
  title={Sparse seemingly unrelated regression modelling: Applications in finance and econometrics},
  author={Hao Wang},
  journal={Computational Statistics & Data Analysis},
  year={2010},
  volume={54},
  pages={2866-2877}
}
A sparse seemingly unrelated regression (SSUR) model is proposed to generate substantively relevant structures in the high-dimensional distributions of seemingly unrelated regression (SUR) model parameters. The SSUR framework includes prior specifications, posterior computations using Markov chain Monte Carlo methods, evaluations of model uncertainty, and model structure searches. Extensions of the SSUR model to dynamic models embed general structure constraints and model uncertainty in dynamic… CONTINUE READING

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