This paper considers the problem of predicting binary choices by selecting from a possibly large set of candidate explanatory variables, which can include both exogenous variables and lagged dependent variables. We consider risk minimization with the risk function being the predictive...

Jiang and Tanner (2008) consider a method of classification using the Gibbs posterior which is directly constructed from the empirical classification errors. They propose an algorithm to sample from the Gibbs posterior which utilizes a smoothed approximation of the empirical classification...

As a generalization of the accelerated failure time models, we consider parametric models of lifetime Y, where the conditional mean E(Y|X;beta) can depend nonlinearly on the covariates X and some parameters beta. The error distribution can be heteroscedastic and dependent on X. With observed...

We propose Bayesian model selection based on composite datasets, which can be constructed from various subsample estimates. The method remains consistent without fully specifying a probability model, and is useful for dependent data, when asymptotic variance of the parameter estimator is...

Hoeffding’s inequality provides a probability bound for the deviation between the average of n independent bounded random variables and its mean. This paper introduces two inequalities that extend Hoeffding’s inequality to panel data, which consists of several mutually independent sequences...

Inference on partially identified models plays an important role in econometrics. This paper proposes novel Bayesian procedures for these models when the identified set is closed and convex and so is completely characterized by its support function. We shed new light on the connection between...

We consider inference about coefficients on a small number of variables of interest in a linear panel data model with additive unobserved individual and time specific effects and a large number of additional time-varying confounding variables. We allow the number of these additional confounding...

It has been well known in financial economics that factor betas depend on observed instruments such as firm specific characteristics and macroeconomic variables, and a key object of interest is the effect of instruments on the factor betas. One of the key features of our model is that we specify...