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Bayesian variable selection in binary quantile regression

Author

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  • Oh, Man-Suk
  • Park, Eun Sug
  • So, Beong-Soo

Abstract

We propose a simple Bayesian variable selection method in binary quantile regression. Our method computes the Bayes factors of all candidate models simultaneously based on a single set of MCMC samples from a model that encompasses all candidate models. The method deals with multicollinearity problems and variable selection under constraints.

Suggested Citation

  • Oh, Man-Suk & Park, Eun Sug & So, Beong-Soo, 2016. "Bayesian variable selection in binary quantile regression," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 177-181.
    • Handle: RePEc:eee:stapro:v:118:y:2016:i:c:p:177-181
    DOI: 10.1016/j.spl.2016.07.001
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    References listed on IDEAS

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    1. Rahim Alhamzawi & Keming Yu, 2012. "Variable selection in quantile regression via Gibbs sampling," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(4), pages 799-813, August.
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    4. Ji, Yonggang & Lin, Nan & Zhang, Baoxue, 2012. "Model selection in binary and tobit quantile regression using the Gibbs sampler," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 827-839.
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    11. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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