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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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    3. Gregory Kordas, 2006. "Smoothed binary regression quantiles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 387-407.
    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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    7. Yu, Keming & Moyeed, Rana A., 2001. "Bayesian quantile regression," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 437-447, October.
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    9. Manski, Charles F., 1985. "Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 313-333, March.
    10. Yu, Keming & Stander, Julian, 2007. "Bayesian analysis of a Tobit quantile regression model," Journal of Econometrics, Elsevier, vol. 137(1), pages 260-276, March.
    11. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    12. Dries F. Benoit & Dirk Van den Poel, 2012. "Binary quantile regression: a Bayesian approach based on the asymmetric Laplace distribution," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(7), pages 1174-1188, November.
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