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On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression

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dc.contributor.authorLey, Eduardo
dc.contributor.authorSteel, Mark F. J.
dc.date.accessioned2012-03-30T07:29:15Z
dc.date.available2012-03-30T07:29:15Z
dc.date.issued2009
dc.description.abstractWe consider 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. We examine the effect of a variety of prior assumptions on the inference concerning model size, posterior inclusion probabilities of regressors and on predictive performance. We illustrate these issues in the context of cross-country growth regressions using three datasets with 41-67 potential drivers of growth and 72-93 observations. Finally, we recommend priors for use in this and related contexts.en
dc.identifier.citationJournal of Applied Econometrics
dc.identifier.issn08837252
dc.identifier.urihttps://hdl.handle.net/10986/4690
dc.language.isoEN
dc.relation.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/igo
dc.rights.holderWorld Bank
dc.subjectSingle Equation Models
dc.subjectSingle Variables: General C200
dc.subjectModel Construction and Estimation C510
dc.subjectForecasting Methods
dc.subjectSimulation Methods C530
dc.subjectMeasurement of Economic Growth
dc.subjectAggregate Productivity
dc.subjectCross-Country Output Convergence O470
dc.titleOn the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regressionen
dc.title.alternativeJournal of Applied Econometricsen
dc.typeJournal Articleen
dc.typeArticle de journalfr
dc.typeArtículo de revistaes
dspace.entity.typePublication
okr.doctypeJournal Article
okr.externalcontentExternal Content
okr.identifier.externaldocumentum1124
okr.journal.nbpages651-674
okr.language.supporteden
okr.peerreviewAcademic Peer Review
okr.relation.associatedurlhttp://search.ebscohost.com/login.aspx?direct=true&db=eoh&AN=1048192&site=ehost-live
okr.relation.associatedurlhttp://www3.interscience.wiley.com/cgi-bin/jhome/4079
okr.volume24
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