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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].

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Author Info
Eduardo Ley (The World Bank, Washington, DC, USA)
Mark F.J. Steel (Department of Statistics, University of Warwick, UK)

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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.

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File URL: http://hdl.handle.net/10.1002/jae.1057
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 24 (2009)
Issue (Month): 4 ()
Pages: 651-674
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Handle: RePEc:jae:japmet:v:24:y:2009:i:4:p:651-674

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  1. Steven N. Durlauf & Andros Kourtellos & Chih Ming Tan, 2006. "Is God in the Details? A Reexamination of the Role of Religion in Economic Growth," Discussion Papers Series, Department of Economics, Tufts University 0613, Department of Economics, Tufts University. [Downloadable!]
  2. Gernot Doppelhofer & Melvyn Weeks, 2007. "Jointness of Growth Determinants," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  3. Ley, Eduardo & Steel, Mark F.J., 2007. "Jointness in Bayesian variable selection with applications to growth regression," Journal of Macroeconomics, Elsevier, vol. 29(3), pages 476-493, September. [Downloadable!] (restricted)
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  4. David J. Nott & Robert Kohn, 2005. "Adaptive sampling for Bayesian variable selection," Biometrika, Oxford University Press for Biometrika Trust, vol. 92(4), pages 747-763, December. [Downloadable!] (restricted)
  5. Xavier Sala-I-Martin & Gernot Doppelhofer & Ronald I. Miller, 2004. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach," American Economic Review, American Economic Association, vol. 94(4), pages 813-835, September. [Downloadable!]
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  6. Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March. [Downloadable!] (restricted)
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  7. Sala-i-Martin, Xavier, 1997. "I Just Ran Two Million Regressions," American Economic Review, American Economic Association, vol. 87(2), pages 178-83, May. [Downloadable!] (restricted)
  8. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(2003-1), pages 235-322. [Downloadable!]
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  9. repec:att:wimass:1920315 is not listed on IDEAS
  10. Charalambos G. Tsangarides, 2005. "Growth Empirics under Model Uncertainty: Is Africa Different?," IMF Working Papers 05/18, International Monetary Fund. [Downloadable!]
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