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On the effect of prior assumptions in Bayesian model averaging with applications to growth regression This article was published online on 30 March 2009. An error was subsequently identified. This notice is included in the online and print versions to indicate that both have been corrected [6 April 2009]

Author

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  • Eduardo Ley

    (The World Bank, Washington, DC, USA)

  • Mark F.J. Steel

    (Department of Statistics, University of Warwick, UK)

Abstract

We 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. Copyright © 2009 John Wiley & Sons, Ltd.

Suggested Citation

  • Eduardo Ley & Mark F.J. Steel, 2009. "On the effect of prior assumptions in Bayesian model averaging with applications to growth regression This article was published online on 30 March 2009. An error was subsequently identified. This not," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 651-674.
    • Handle: RePEc:jae:japmet:v:24:y:2009:i:4:p:651-674
    DOI: 10.1002/jae.1057
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    8. Doris A. Oberdabernig & Stefan Humer & Jesus Crespo Cuaresma, 2018. "Democracy, Geography and Model Uncertainty," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(2), pages 154-185, May.
    9. Griffin Jim E. & Hinoveanu Laurenţiu C. & Hopker James G., 2022. "Bayesian modelling of elite sporting performance with large databases," Journal of Quantitative Analysis in Sports, De Gruyter, vol. 18(4), pages 253-268, December.
    10. Martin Feldkircher & Florian Huber & Josef Schreiner & Marcel Tirpák & Peter Tóth & Julia Wörz, 2015. "Bridging the information gap: small-scale nowcasting models of GDP growth for selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 56-75.

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