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

DOI10.1016/j.jeconom.2012.06.009zbMath1443.62199OpenAlexW2133668847MaRDI QIDQ528107

Eduardo Ley, Mark 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

zbMATH Keywords

predictionrobustnessconsistencymodel uncertaintyposterior oddscomplexity penalty

Mathematics Subject Classification ID

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

Related Items (12)

A weakly informative prior for Bayesian dynamic model selection with applications in fMRI ⋮ Prior distributions for objective Bayesian analysis ⋮ Posterior consistency of \(g\)-prior for variable selection with a growing number of parameters ⋮ A multi-row deletion diagnostic for influential observations in small-sample regressions ⋮ Can specific policy indicators identify reform priorities? ⋮ Economic variable selection ⋮ Methods and Tools for Bayesian Variable Selection and Model Averaging in Normal Linear Regression ⋮ Power-expected-posterior priors as mixtures of \(g\)-priors in normal linear models ⋮ Bayesian high-dimensional screening via MCMC ⋮ Consistency of Bayes factor for nonnested model selection when the model dimension grows ⋮ Mixtures ofg-Priors in Generalized Linear Models ⋮ Consistency of Bayes factors under hyper \(g\)-priors with growing model size

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