Bayesian Model Averaging

Yulia Marchenko
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Yulia Marchenko: StataCorp

UK Stata Conference 2023 from Stata Users Group

Abstract: Model uncertainty accompanies many data analyses. Stata's new bma suite that performs Bayesian model averaging (BMA) helps address this uncertainty in the context of linear regression. Which predictors are important given the observed data? Which models are more plausible? How do predictors relate to each other across different models? BMA can answer these and more questions. BMA uses the Bayes theorem to aggregate the results across multiple candidate models to account for model uncertainty during inference and prediction in a principled and universal way. In my presentation, I will describe the basics of BMA and demonstrate it with the bma suite. I will also show how BMA can become a useful tool for your regression analysis, Bayesian or not!

Date: 2023-09-10
New Economics Papers: this item is included in nep-ger and nep-inv
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http://repec.org/lsug2023/Stata_UK23_Marchenko.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:boc:lsug23:05

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