While individual studies have demonstrated that mRNA expressions are affected by both copy number aberrations and microRNAs, their integrative analysis has largely been ignored. In this article, we use high-dimensional regression techniques to perform the integrative analysis of such data in the context of Glioblastoma Multiforme (GBM). It is revealed that copy numbers are more potent regulators of mRNA levels than microRNAs. We also infer the mRNA expression network after adjusting the effect of microRNAs and copy numbers. Our association analysis demonstrates the expression levels of the genes IRS1 and GRB2 are strongly associated with the underlying variations in copy numbers on chromosomal locations 17q25.1 and 3p25.2, but we fail to detect significant associations with microRNA levels.