Bayesian model averaging using power-expected-posterior priors

This paper focuses on the Bayesian model average (BMA) using the power-expected-posterior prior in objective Bayesian variable selection under normal linear models. We derive a BMA point estimate of a predicted value, and present computation and evaluation strategies of the prediction accuracy. We compare the performance of our method with that of similar approaches in a simulated and a real data example from economics.

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Year of publication:	2020
Authors:	Fouskakis, Dimitris ; Ntzoufras, Ioannis
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 8.2020, 2, p. 1-15
Publisher:	Basel : MDPI
Subject:	Bayesian model averaging \| Bayesian variable selection \| expected-posterior priors \| imaginary training samples \| power-expected-posterior priors

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics8020017 [DOI] 172828693X [GVK] hdl:10419/247565 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012696280