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Variable selection and model comparison in regression


  • John F. Geweke


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.

Suggested Citation

  • John F. Geweke, 1994. "Variable selection and model comparison in regression," Working Papers 539, Federal Reserve Bank of Minneapolis.
  • Handle: RePEc:fip:fedmwp:539

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    References listed on IDEAS

    1. Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
    2. Robert B. Litterman, 1984. "Forecasting and policy analysis with Bayesian vector autoregression models," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
    3. Robert B. Litterman, 1984. "The costs of intermediate targeting," Working Papers 254, Federal Reserve Bank of Minneapolis.
    4. Robert E. Lucas, Jr. & Thomas J. Sargent, 1979. "After Keynesian macroeconomics," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr.
    5. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
    6. Sargent, Thomas J, 1984. "Autoregressions, Expectations, and Advice," American Economic Review, American Economic Association, vol. 74(2), pages 408-415, May.
    7. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    8. Paul A. Anderson, 1979. "Help for the regional economic forecaster: vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum.
    9. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    10. Thomas J. Sargent, 1979. "Estimating vector autoregressions using methods not based on explicit economic theories," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum.
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    Cited by:

    1. Golan, Amos, 2001. "A simultaneous estimation and variable selection rule," Journal of Econometrics, Elsevier, vol. 101(1), pages 165-193, March.
    2. Gordon, Stephen & Bélanger, Gilles, 1996. "Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(1), pages 27-49, mars.
    3. Mike G. Tsionas, 2016. "Alternative Bayesian compression in Vector Autoregressions and related models," Working Papers 216, Bank of Greece.
    4. Mike G. Tsionas, 2016. "Alternatives to large VAR, VARMA and multivariate stochastic volatility models," Working Papers 217, Bank of Greece.

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    Regression analysis;


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