Mixtures of g-priors for Bayesian model averaging with economic applications

DOI10.1016/J.JECONOM.2012.06.009zbMATH Open1443.62199OpenAlexW2133668847MaRDI QIDQ528107FDOQ528107

Authors: Eduardo Ley, M. F. J. Steel 

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S030440761200156X

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zbMATH Keywords

predictionconsistencyrobustnessmodel uncertaintyposterior oddscomplexity penalty

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

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• Benchmark priors for Bayesian model averaging.
• Empirical Bayes vs. fully Bayes variable selection
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• Proper Bayes Minimax Estimators of the Multivariate Normal Mean

Cited In (21)

• Forecasting inflation using time-varying Bayesian model averaging
• Bayesian analysis of testing general hypotheses in linear models with spherically symmetric errors
• Consistency of Bayes factors under hyper \(g\)-priors with growing model size
• Bayesian approaches to variable selection: a comparative study from practical perspectives
• Bayesian hypothesis testing for equality of high-dimensional means using cluster subspaces
• Prior distributions for objective Bayesian analysis
• Consistency of Bayes factor for nonnested model selection when the model dimension grows
• Mixtures of \(g\)-priors in generalized linear models
• Posterior consistency of \(g\)-prior for variable selection with a growing number of parameters
• Robustness of econometric variable selection methods
• Mixtures of g Priors for Bayesian Variable Selection
• Identifying groups of determinants in Bayesian model averaging using Dirichlet process clustering
• A multi-row deletion diagnostic for influential observations in small-sample regressions
• Bayesian high-dimensional screening via MCMC
• Methods and Tools for Bayesian Variable Selection and Model Averaging in Normal Linear Regression
• Economic variable selection
• A weakly informative prior for Bayesian dynamic model selection with applications in fMRI
• Can specific policy indicators identify reform priorities?
• Power-expected-posterior priors as mixtures of \(g\)-priors in normal linear models
• Benchmark priors for Bayesian model averaging.
• Variable selection and functional form uncertainty in cross-country growth regressions

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