Variable selection and model comparison in regression

John Geweke

No 539, Working Papers from Federal Reserve Bank of Minneapolis

Abstract: In the specification of linear regression models it is common to indicate a list of candidate variables from which a subset enters the model with nonzero coefficients. This paper interprets this specification as a mixed continuous-discrete prior distribution for coefficient values. It then utilizes a Gibbs sampler to construct posterior moments. It is shown how this method can incorporate sign constraints and provide posterior probabilities for all possible subsets of regressors. The methods are illustrated using some standard data sets.

Keywords: Regression; analysis (search for similar items in EconPapers)
Date: 1994
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