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Selection Of Variables Influencing Iraqi Banks Deposits By Using New Bayesian Lasso Quantile Regression

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  • Fadel Hamid Hadi ALHUSSEINI

    (Department of Statistics and Economic Informatics, University of Craiova, Romania. University of Al-Qadiseya, Iraq)

Abstract

The main focus of the paper is modelling the relationship between Iraqi banks deposits and a set of independent variables, including selecting of important independent variables that affect the Iraqi banks deposits. The approach is assigning independent scale mixture of uniform distributions for the regression parameters in the quantile regression model by building an efficient Gibbs sampler to posterior distributions through MCMC algorithms. This study contains one response variable (Iraqi banks deposits and eight independent variables. Three quantile levels (0.30, 0.60, 0.90) are utilized. The optimal quantile regression model results at high quantile level (0.90). This is clear from the pseudo-R squared value. Therefore, we will focus on the high quantile level. Five independent variables have a significant effect on the response variable (Iraqi banks deposits). At high quantile level, the result of variables selection shows six independent variables with importance in the building of the quantile regression model. The rest of the independent variables are not important.

Suggested Citation

  • Fadel Hamid Hadi ALHUSSEINI, 2017. "Selection Of Variables Influencing Iraqi Banks Deposits By Using New Bayesian Lasso Quantile Regression," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, vol. 6(1), pages 46-59, JULY.
    • Handle: RePEc:aes:jsesro:v:6:y:2017:i:1:p:46-59
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bayesian approach; Lasso quantile regression; scale mixture uniform; deposits of Iraqi banks; variables selection Journal: Journal of Social and Economic Statistics;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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