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Mixtures of g-priors for Bayesian Model Averaging with Economic Application

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dc.contributor.authorLey, Eduardo
dc.contributor.authorSteel, Mark F. J.
dc.date.accessioned2012-03-19T18:03:29Z
dc.date.available2012-03-19T18:03:29Z
dc.date.issued2011-07-01
dc.description.abstractThis paper examines the issue of variable selection in linear regression modeling, where there is a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the appropriate subset. In this context, Bayesian Model Averaging presents a formal Bayesian solution to dealing with model uncertainty. The main interest here is the effect of the prior on the results, such as posterior inclusion probabilities of regressors and predictive performance. The authors combine a Binomial-Beta prior on model size with a g-prior on the coefficients of each model. In addition, they assign a hyperprior to g, as the choice of g has been found to have a large impact on the results. For the prior on g, they examine the Zellner-Siow prior and a class of Beta shrinkage priors, which covers most choices in the recent literature. The authors propose a benchmark Beta prior, inspired by earlier findings with fixed g, and show it leads to consistent model selection. Inference is conducted through a Markov chain Monte Carlo sampler over model space and g. The authors examine the performance of the various priors in the context of simulated and real data. For the latter, they consider two important applications in economics, namely cross-country growth regression and returns to schooling. Recommendations for applied users are provided.en
dc.identifierhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110725090359
dc.identifier.doi10.1596/1813-9450-5732
dc.identifier.urihttps://hdl.handle.net/10986/3496
dc.languageEnglish
dc.relation.ispartofseriesPolicy Research working paper ; no. WPS 5732
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectALGORITHMS
dc.subjectARCHIVE
dc.subjectAREA
dc.subjectASPECT
dc.subjectBAYES FACTOR
dc.subjectBAYESIAN ANALYSIS
dc.subjectBAYESIAN STATISTICS
dc.subjectBAYESIAN THEORY
dc.subjectBENCHMARK
dc.subjectCALCULATION
dc.subjectCLASSIFICATION
dc.subjectCOVARIANCE
dc.subjectECONOMETRICS
dc.subjectENTRIES
dc.subjectENUMERATION
dc.subjectESSAYS
dc.subjectGAMMA DISTRIBUTION
dc.subjectGENERALIZATION
dc.subjectIDENTITY
dc.subjectILLUSTRATION
dc.subjectINTEGRALS
dc.subjectLINEAR MODELS
dc.subjectLINEAR REGRESSION
dc.subjectLITERATURE
dc.subjectLITERATURES
dc.subjectMATRIX
dc.subjectMODELING
dc.subjectMULTIPLE REGRESSION
dc.subjectNESTED HYPOTHESES
dc.subjectNORMAL DISTRIBUTIONS
dc.subjectNOTATION
dc.subjectPOSTER
dc.subjectPRECISION
dc.subjectPREDICTION
dc.subjectPREDICTIONS
dc.subjectPROBABILITIES
dc.subjectPROBABILITY
dc.subjectRANDOM VARIABLES
dc.subjectRANDOM WALK
dc.subjectREASONING
dc.subjectREGRESSION ANALYSIS
dc.subjectSAMPLE SIZE
dc.subjectSPIKE
dc.subjectSTANDARD DEVIATION
dc.subjectSTATISTICAL DECISION THEORY
dc.subjectTERMINOLOGY
dc.subjectUNION
dc.subjectUSER
dc.subjectUSERS
dc.subjectVARIABILITY
dc.subjectWEB
dc.titleMixtures of g-priors for Bayesian Model Averaging with Economic Applicationen
dspace.entity.typePublication
okr.crossref.titleMixtures of g-Priors for Bayesian Model Averaging with Economic Application
okr.date.disclosure2011-07-01
okr.date.doiregistration2025-04-10T11:20:12.240373Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110725090359
okr.globalpracticeEducation
okr.guid422911468157501101
okr.identifier.doi10.1596/1813-9450-5732
okr.identifier.externaldocumentum000158349_20110725090359
okr.identifier.internaldocumentum14643155
okr.identifier.reportWPS5732
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2011/07/25/000158349_20110725090359/Rendered/PDF/WPS5732.pdfen
okr.region.administrativeThe World Region
okr.region.administrativeThe World Region
okr.topicEducation::Educational Technology and Distance Education
okr.unitDevelopment Research Group (DECRG)
okr.volume1 of 1
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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