Economics at your fingertips  

Bayesian Model Averaging Using Power-Expected-Posterior Priors

Dimitris Fouskakis () and Ioannis Ntzoufras ()
Additional contact information
Dimitris Fouskakis: Statistics Lab, Department of Mathematics, National Technical University of Athens, Zografou Campus, 15780 Athens, Greece
Ioannis Ntzoufras: Computational and Bayesian Statistics Lab, Department of Statistics, Athens University of Economics and Business, 10434 Athens, Greece

Econometrics, 2020, vol. 8, issue 2, 1-15

Abstract: This paper focuses on the Bayesian model average (BMA) using the power–expected– posterior prior in objective Bayesian variable selection under normal linear models. We derive a BMA point estimate of a predicted value, and present computation and evaluation strategies of the prediction accuracy. We compare the performance of our method with that of similar approaches in a simulated and a real data example from economics.

Keywords: Bayesian model averaging; Bayesian variable selection; expected–posterior priors; imaginary training samples; power–expected–posterior priors (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Econometrics is currently edited by Prof. Dr. Kerry Patterson

More articles in Econometrics from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

Page updated 2020-06-13
Handle: RePEc:gam:jecnmx:v:8:y:2020:i:2:p:17-:d:356718