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    Sequential variable selection as Bayesian pragmatism in linear factor models

    Knight, J. and Satchell, Stephen E. and Zhang, J. (2012) Sequential variable selection as Bayesian pragmatism in linear factor models. Working Paper. Birkbeck College, University of London, London, UK.

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    Abstract

    We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased/decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client/modeller may think important. We call this process Pragmatic Bayesianism (or prag-Bayes for short) and we provide analysis which shows when such a procedure is likely to be successful.

    Metadata

    Item Type: Monograph (Working Paper)
    Keyword(s) / Subject(s): linear factor models, Bayesian statistics, sequential regression
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 11 Jan 2013 11:22
    Last Modified: 17 Apr 2013 12:33
    URI: http://eprints.bbk.ac.uk/id/eprint/5946

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