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...

We wish to congratulate John Geweke on producing such an interesting and complete paper. We are delighted to see that serious attempts to make Bayesian methods more generally understood and available are being undertaken. In addition, a number of quite challenging issues is addressed here....