Hierarchical shrinkage priors for dynamic regressions with many predictors

This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation. Using 1...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Paper
Language: English
Place of publication: 01.05.2011
Related: Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
Data of publication: 2011/05/01
Series: CORE Discussion Papers
Online Access: available in Bonn?
Database: RePEc IDEAS
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