Relational Event Models (REMs) provide valuable insights into the dynamics of longitudinal social networks. Yet, the vast availability of potential predictors for a dyad's event rate poses the risk of selecting irrelevant variables and specifying an overfitted model that does not generalize to new data. Despite the recent popularity of Bayesian regularization methods to address this, there has not been a systematic evaluation of the performance of Exact Bayesian Regularization (EBR) and Approximate Bayesian Regularization (ABR) against standard Maximum Likelihood (ML) procedures commonly used for REMs. To address this, we conduct a simulation study in which directed Relational Event History (REH) data is generated with endogenous and exogenous effects of varying strength and compare the performance of (a) unregularized ML estimation, (b) ABR through normal approximations of the likelihood with Ridge and Horseshoe priors, and (c) EBR with Horseshoe priors. We find that threshold-based criteria applied to ABR and EBR with Horseshoe priors outperform univariate selection using p-values from ML estimation in variable selection accuracy. Regarding predictive performance, ABR with Ridge priors and EBR with Horseshoe priors outperform ML REMs, particularly for small sample sizes. Given only small gains with large computational burdens when using EBR, we therefore advise researchers to use ABR with a suitable prior.
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