Hi All:
Recently I am researching my dissertation about the quantile model selection
by bayesian approach. I have the dependent variable(return) and 16
independent variables and I need to select the best variable for each
quantile of return. And the method I used is the bayesian approach, which is
based on calculating the posterior distibution of model identifier. In other
words, I need to obtain the posterior model probabilities of all competing
models (2^16 models) and ranking the models according to these
probabilities. Then inferences can be based on the most probable model .
However, I am not sure which package in R I should use. Could you help me
and which exact packages I need to use? Many many thanks
Best wishes
XIN LI
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