{"product_id":"bayesian-approaches-to-shrinkage-and-sparse-estimation-9781638280347","title":"Bayesian Approaches to Shrinkage and Sparse Estimation","description":"\u003cstrong\u003eBayesian Approaches to Shrinkage and Sparse Estimation\u003c\/strong\u003e introduces the reader to the world of Bayesian model determination by surveying modern shrinkage and variable selection algorithms and methodologies. Bayesian inference is a natural probabilistic framework for quantifying uncertainty and learning about model parameters, and this feature is particularly important for inference in modern models of high dimensions and increased complexity. \u003cp\u003eThe authors begin with a linear regression setting in order to introduce various classes of priors that lead to shrinkage\/sparse estimators of comparable value to popular penalized likelihood estimators (e.g. ridge, LASSO). They examine various methods of exact and approximate inference, and discuss their pros and cons. Finally, they explore how priors developed for the simple regression setting can be extended in a straightforward way to various classes of interesting econometric models. In particular, the following case-studies are considered that demonstrate application of Bayesian shrinkage and variable selection strategies to popular econometric contexts: i) vector autoregressive models; ii) factor models; iii) time-varying parameter regressions; iv) confounder selection in treatment effects models; and v) quantile regression models. A MATLAB package and an accompanying technical manual allows the reader to replicate many of the algorithms described in this review.\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=AUTH-5381259\"\u003eDimitris Korobilis\u003c\/a\u003e, \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=AUTH-4742167\"\u003eKenichi Shimizu\u003c\/a\u003e\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Now Publishers\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 06\/29\/2022\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 136\u003cbr\u003e\u003cb\u003eBinding Type:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.44lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.21h x 6.14w x 0.29d\u003cbr\u003e\u003cb\u003eISBN13:\u003c\/b\u003e 9781638280347\u003cbr\u003e\u003cb\u003eISBN10:\u003c\/b\u003e 1638280347\u003cbr\u003e\u003cb\u003eBISAC Categories:\u003c\/b\u003e\u003cbr\u003e- \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=CAT-BUS\"\u003eBusiness \u0026amp; Economics\u003c\/a\u003e | \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=BISAC-BUS021000\"\u003eEconometrics\u003c\/a\u003e\u003cbr\u003e","brand":"Now Publishers","offers":[{"title":"Default Title","offer_id":44432466215149,"sku":"9781638280347","price":120.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0550\/8097\/6621\/products\/img_3a28d080-288a-4bbd-9339-8c26b342e3c1.jpg?v=1700043876","url":"https:\/\/sureshotbooks.com\/products\/bayesian-approaches-to-shrinkage-and-sparse-estimation-9781638280347","provider":"SureShot Books Publishing LLC","version":"1.0","type":"link"}