On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression
This paper examines 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...
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| Format: | Policy Research Working Paper |
| Language: | English |
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World Bank, Washington, DC
2012
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| Online Access: | http://documents.worldbank.org/curated/en/2007/06/7712856/effect-prior-assumptions-bayesian-model-averaging-applications-growth-regression http://hdl.handle.net/10986/7401 |
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okr-10986-74012021-04-23T14:02:33Z On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression Ley, Eduardo Steel, Mark F. J. AREA BAYES FACTOR BINOMIAL DISTRIBUTION CLASSIFICATION COVARIANCE FORECASTS INTEGER LATIN AMERICAN LINEAR MODELS LINEAR REGRESSION MATRIX PRECISION PREDICTION PREDICTIONS PROBABILITIES PROBABILITY PROBABILITY MODELS REASONING RESEARCH WORKING PAPERS SAMPLE SIZE SCENARIO SIMULATION STANDARD DEVIATION This paper examines 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. The paper analyzes the effect of a variety of prior assumptions on the inference concerning model size, posterior inclusion probabilities of regressors, and predictive performance. The analysis illustrates these issues in the context of cross-country growth regressions using three datasets with 41 to 67 potential drivers of growth and 72 to 93 observations. The results favor particular prior structures for use in this and related contexts. 2012-06-07T15:38:56Z 2012-06-07T15:38:56Z 2007-06 http://documents.worldbank.org/curated/en/2007/06/7712856/effect-prior-assumptions-bayesian-model-averaging-applications-growth-regression http://hdl.handle.net/10986/7401 English Policy Research Working Paper; No. 4238 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research |
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Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
AREA BAYES FACTOR BINOMIAL DISTRIBUTION CLASSIFICATION COVARIANCE FORECASTS INTEGER LATIN AMERICAN LINEAR MODELS LINEAR REGRESSION MATRIX PRECISION PREDICTION PREDICTIONS PROBABILITIES PROBABILITY PROBABILITY MODELS REASONING RESEARCH WORKING PAPERS SAMPLE SIZE SCENARIO SIMULATION STANDARD DEVIATION |
| spellingShingle |
AREA BAYES FACTOR BINOMIAL DISTRIBUTION CLASSIFICATION COVARIANCE FORECASTS INTEGER LATIN AMERICAN LINEAR MODELS LINEAR REGRESSION MATRIX PRECISION PREDICTION PREDICTIONS PROBABILITIES PROBABILITY PROBABILITY MODELS REASONING RESEARCH WORKING PAPERS SAMPLE SIZE SCENARIO SIMULATION STANDARD DEVIATION Ley, Eduardo Steel, Mark F. J. On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression |
| relation |
Policy Research Working Paper; No. 4238 |
| description |
This paper examines 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. The paper
analyzes the effect of a variety of prior assumptions on the
inference concerning model size, posterior inclusion
probabilities of regressors, and predictive performance. The
analysis illustrates these issues in the context of
cross-country growth regressions using three datasets with
41 to 67 potential drivers of growth and 72 to 93
observations. The results favor particular prior structures
for use in this and related contexts. |
| format |
Publications & Research :: Policy Research Working Paper |
| 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 |
| publisher |
World Bank, Washington, DC |
| publishDate |
2012 |
| url |
http://documents.worldbank.org/curated/en/2007/06/7712856/effect-prior-assumptions-bayesian-model-averaging-applications-growth-regression http://hdl.handle.net/10986/7401 |
| _version_ |
1764401974137061376 |