SELECTION OF VARIABLES INFLUENCING IRAQI BANKS DEPOSITS BY USING NEW BAYESIAN LASSO QUANTILE REGRESSION

Fadel Hamid Hadi Alhusseini ()
Additional contact information
Fadel Hamid Hadi Alhusseini: Department of Statistics and Economic Informatics, University of Craiova, Romania. University of Al-Qadiseya, Iraq

Journal of Social and Economic Statistics, 2017, vol. 6, issue 1, 46-59

Abstract: The main focus of the paper is modelling the relationship between Iraqi banks deposits and a set of independent variables, including selecting of important independent variables that affect the Iraqi banks deposits. The approach is assigning independent scale mixture of uniform distributions for the regression parameters in the quantile regression model by building an efficient Gibbs sampler to posterior distributions through MCMC algorithms. This study contains one response variable (Iraqi banks deposits and eight independent variables. Three quantile levels (0.30, 0.60, 0.90) are utilized. The optimal quantile regression model results at high quantile level (0.90). This is clear from the pseudo-R squared value. Therefore, we will focus on the high quantile level. Five independent variables have a significant effect on the response variable (Iraqi banks deposits). At high quantile level, the result of variables selection shows six independent variables with importance in the building of the quantile regression model. The rest of the independent variables are not important.

Keywords: Bayesian approach; Lasso quantile regression; scale mixture uniform; deposits of Iraqi banks; variables selection Journal: Journal of Social and Economic Statistics (search for similar items in EconPapers)
JEL-codes: C11 C15 C22 E50 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.jses.ase.ro/downloads/Vol61/Fadel.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aes:jsesro:v:6:y:2017:i:1:p:46-59

Access Statistics for this article

Journal of Social and Economic Statistics is currently edited by Zizi Goschin

More articles in Journal of Social and Economic Statistics from Bucharest University of Economic Studies Contact information at EDIRC.
Bibliographic data for series maintained by Bogdan-Vasile Ileanu ().