Fouskakis, Dimitris; Ntzoufras, Ioannis - In: Econometrics : open access journal 8 (2020) 2/17, pp. 1-15
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....
