On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression

We consider the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. We examine the effect of a variety of prior assumptions on...

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Bibliographic Details
Main Authors:	Ley, Eduardo, Steel, Mark F. J.
Format:	Journal Article
Language:	EN
Published:	2012
Subjects:	Single Equation Models Single Variables: General C200 Model Construction and Estimation C510 Forecasting Methods Simulation Methods C530 Measurement of Economic Growth Aggregate Productivity Cross-Country Output Convergence O470
Online Access:	http://hdl.handle.net/10986/4690

id	okr-10986-4690
recordtype	oai_dc
spelling	okr-10986-46902021-04-23T14:02:19Z On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression Ley, Eduardo Steel, Mark F. J. Single Equation Models Single Variables: General C200 Model Construction and Estimation C510 Forecasting Methods Simulation Methods C530 Measurement of Economic Growth Aggregate Productivity Cross-Country Output Convergence O470 We consider the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. We examine the effect of a variety of prior assumptions on the inference concerning model size, posterior inclusion probabilities of regressors and on predictive performance. We illustrate these issues in the context of cross-country growth regressions using three datasets with 41-67 potential drivers of growth and 72-93 observations. Finally, we recommend priors for use in this and related contexts. 2012-03-30T07:29:15Z 2012-03-30T07:29:15Z 2009 Journal Article Journal of Applied Econometrics 08837252 http://hdl.handle.net/10986/4690 EN http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Journal Article
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	EN
topic	Single Equation Models Single Variables: General C200 Model Construction and Estimation C510 Forecasting Methods Simulation Methods C530 Measurement of Economic Growth Aggregate Productivity Cross-Country Output Convergence O470
spellingShingle	Single Equation Models Single Variables: General C200 Model Construction and Estimation C510 Forecasting Methods Simulation Methods C530 Measurement of Economic Growth Aggregate Productivity Cross-Country Output Convergence O470 Ley, Eduardo Steel, Mark F. J. On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression
relation	http://creativecommons.org/licenses/by-nc-nd/3.0/igo
description	We consider the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. We examine the effect of a variety of prior assumptions on the inference concerning model size, posterior inclusion probabilities of regressors and on predictive performance. We illustrate these issues in the context of cross-country growth regressions using three datasets with 41-67 potential drivers of growth and 72-93 observations. Finally, we recommend priors for use in this and related contexts.
format	Journal Article
author	Ley, Eduardo Steel, Mark F. J.
author_facet	Ley, Eduardo Steel, Mark F. J.
author_sort	Ley, Eduardo
title	On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression
title_short	On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression
title_full	On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression
title_fullStr	On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression
title_full_unstemmed	On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression
title_sort	on the effect of prior assumptions in bayesian model averaging with applications to growth regression
publishDate	2012
url	http://hdl.handle.net/10986/4690
_version_	1764392413397254144

On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression

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