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Computational Efficiency in Bayesian Model and Variable Selection

Jana Eklund and Sune Karlsson ()

Economics from Department of Economics, Central bank of Iceland

Abstract: This paper is concerned with the efficient implementation of Bayesian model averaging (BMA) and Bayesian variable selection, when the number of candidate variables and models is large, and estimation of posterior model probabilities must be based on a subset of the models. Efficient implementation is concerned with two issues, the efficiency of the MCMC algorithm itself and efficient computation of the quantities needed to obtain a draw from the MCMC algorithm. For the first aspect, it is desirable that the chain moves well and quickly through the model space and takes draws from regions with high probabilities. In this context there is a natural trade-off between local moves, which make use of the current parameter values to propose plausible values for model parameters, and more global transitions, which potentially allow exploration of the distribution of interest in fewer steps, but where each step is more computationally intensive. We assess the convergence properties of simple samplers based on local moves and some recently proposed algorithms intended to improve on the basic samplers. For the second aspect, efficient computation within the sampler, we focus on the important case of linear models where the computations essentially reduce to least squares calculations. When the chain makes local moves, adding or dropping a variable, substantial gains in efficiency can be made by updating the previous least squares solution.

New Economics Papers: this item is included in nep-ict
Date: 2007-05
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Working Paper: Computational Efficiency in Bayesian Model and Variable Selection (2007) Downloads
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