Ley, Eduardo and Steel, Mark F.J. (2008): On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression. Published in: Journal of Applied Econometrics , Vol. 4, No. 24 (2009): pp. 651-674.
This is the latest version of this item.
Download (571kB) | Preview
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 to 67 potential drivers of growth and 72 to 93 observations. Finally, we recommend priors for use in this and related contexts.
|Item Type:||MPRA Paper|
|Institution:||The World Bank|
|Original Title:||On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression|
|Keywords:||Model size; Model uncertainty; Posterior odds; Prediction; Prior odds; Robustness|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General
O - Economic Development, Innovation, Technological Change, and Growth > O4 - Economic Growth and Aggregate Productivity > O47 - Empirical Studies of Economic Growth ; Aggregate Productivity ; Cross-Country Output Convergence
|Depositing User:||Eduardo Ley|
|Date Deposited:||17. Jan 2008 00:50|
|Last Modified:||06. Feb 2015 23:40|
Bernardo, J.M., and A.F.M. Smith (1994) Bayesian Theory, Chicester: John Wiley.
Brock, W., and S. Durlauf (2001) "Growth Empirics and Reality," World Bank Economic Review, 15: 229-72.
Brock,W., S. Durlauf and K.West (2003) "Policy Evaluation in Uncertain Economic Environments," (with discussion) Brookings Papers of Economic Activity, 1: 235-322.
Brown, P.J., M. Vannucci and T. Fearn (1998) "Bayesian Wavelength Selection in Multicomponent Analysis," Journal of Chemometrics, 12: 173-182.
Chipman, H., E.I. George and R.E. McCulloch (2001) "The Practical Implementation of Bayesian Model Selection," (with discussion) in Model Selection, ed. P. Lahiri, IMS Lecture Notes, Vol. 38, pp. 70-134.
Clyde, M.A., and E.I. George (2004) "Model Uncertainty," Statistical Science, 19: 81-94.
Doppelhofer, G., and M. Weeks (2008) "Jointness of Growth Determinants," (with discussion) Journal of Applied Econometrics, forthcoming.
Durlauf, S.N., A. Kourtellos and C.M. Tan (2006) "Is God in the Details? A Reexamination of the Role of Religion in Economic Growth," Economics Research Paper 20069, University of Wisconsin Madison.
Eicher, T.S., C. Papageorgiou and A.E. Raftery (2007) "Determining Growth Determinants: Default Priors and Predictive Performance in Bayesian Model Averaging," Working Paper No. 76, Center for Statistics and the Social Sciences, University of Washington, Seattle.
Fernández, C., E. Ley and M.F.J. Steel (2001a) "Benchmark Priors for Bayesian Model Averaging," Journal of Econometrics, 100: 381-427.
Fernández, C., E. Ley and M.F.J. Steel (2001b) "Model Uncertainty in Cross-Country Growth Regressions," Journal of Applied Econometrics, 16: 563-76.
Foster, D.P., and E.I. George (1994), "The Risk Inflation Criterion for multiple regression," Annals of Statistics, 22: 1947-1975.
George, E.I., and D.P. Foster (2000) "Calibration and Empirical Bayes variable selection," Biometrika, 87: 731-747.
George, E.I., and R.E. McCulloch (1997) "Approaches for Bayesian Variable Selection," Statistica Sinica, 7: 339-373.
Gneiting, T. and A.E. Raftery (2007) "Strictly Proper Scoring Rules, Prediction and Estimation," Journal of the American Statistical Association, 102: 359-378.
Hoeting, J.A., D. Madigan, A.E. Raftery and C.T. Volinsky (1999) "Bayesian model averaging: A tutorial," Statistical Science 14: 382-401.
Kass, R.E. and A.E. Raftery (1995), "Bayes factors" Journal of the American Statistical Association 90: 773-795. Kass, R.E. and L. Wasserman (1995) "A reference Bayesian test for nested hypotheses and its relationship to the Schwarz criterion," Journal of the American Statistical Association, 90: 928-934.
Liang, F., R. Paulo, G. Molina, M.A. Clyde, and J.O. Berger (2005) "Mixtures of gpriors for Bayesian Variable Selection," ISDS Discussion Paper 200512, Duke University.
León-González, R. and D. Montolio (2004) "Growth, Convergence and Public Investment: A BMA Approach," Applied Economics, 36: 1925-36.
Levine, R., and D. Renelt (1992) "A Sensitivity Analysis of Cross-Country Growth Regressions," American Economic Review, 82: 942-963.
Ley, E. and M.F.J. Steel (2007) "Jointness in Bayesian Variable Selection with Applications to Growth Regression," Journal of Macroeconomics, 29: 476-493.
Macleod, A.I. and D.R. Bellhouse (1983) "A Convenient Algorithm for Drawing a Simple Random Sample," Applied Statistics, 32: 182-184.
Nott, D.J. and R. Kohn (2005) "Adaptive Sampling for Bayesian Variable Selection," Biometrika, 92: 747-763 Masanjala, W. and C. Papageorgiou (2005) "Initial Conditions, European Colonialism and Africa’s Growth," mimeo, Department of Economics, Louisiana State University, Baton Rouge.
Min, C.K., and A. Zellner (1993) "Bayesian and NonBayesian Methods for Combining Models and Forecasts With Applications to Forecasting International Growth Rates," Journal of Econometrics, 56: 89-118.
Raftery, A.E. (1995) "Bayesian Model Selection in Social Research," Sociological Methodology, 25: 111-163.
Raftery, A.E., D. Madigan, and J. A. Hoeting (1997) "Bayesian Model Averaging for Linear Regression Models," Journal of the American Statistical Association, 92: 179-191.
Sala i Martin, X.X. (1997) "I Just Ran Two Million Regressions," American Economic Review, 87: 178-183.
Sala i Martin, X.X., G. Doppelhofer and R.I. Miller (2004) "Determinants of long term growth: A Bayesian averaging of classical estimates (BACE) approach." American Economic Review 94: 813-835.
Tsangarides, C.G. (2005) "Growth Empirics under Model Uncertainty: Is Africa Different?," IMF Working Paper 05/18, Washington, DC.
Zellner, A. (1986) "On assessing prior distributions and Bayesian regression analysis with gprior distributions," in Bayesian Inference and Decision Techniques: Essays in Honour of Bruno de Finetti, eds. P.K. Goel and A. Zellner, Amsterdam: North-Holland, pp. 233-243.
Zellner, A. and Siow, A. (1980) "Posterior odds ratios for selected regression hypotheses," (with discussion) in Bayesian Statistics, eds. J.M. Bernardo, M.H. DeGroot, D.V. Lindley and A.F.M. Smith, Valencia: University Press, pp. 585-603.
Available Versions of this Item
- On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression. (deposited 17. Jan 2008 00:50) [Currently Displayed]