Charemza, Wojciech W.; Strachan, Rodney; Zurawski, Piotr - In: Economics Letters 109 (2010) 3, pp. 144-146
This paper shows: (1) bias may exist in Bayesian methods of selecting regressors; (2) the non-zero posterior inclusion probability of irrelevant regressors might affect the choice of regressors; and (3) how to compute the probability of falsely including a variable.
