Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244427 
Year of Publication: 
2007
Series/Report no.: 
Working Paper No. 4/2007
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
Large scale Bayesian model averaging and variable selection exercises present, despite the great increase in desktop computing power, considerable computational challenges. Due to the large scale it is impossible to evaluate all possible models and estimates of posterior probabilities are instead obtained from stochastic (MCMC) schemes designed to converge on the posterior distribution over the model space. While this frees us from the requirement of evaluating all possible models the computational effort is still substantial and efficient implementation is vital. Efficient implementation is concerned with two issues: the efficiency of the MCMC algorithm itself and efficient computation of the quantities needed to obtain a draw from the MCMC algorithm. We evaluate several different MCMC algorithms and find that relatively simple algorithms with local moves perform competitively except possibly when the data is highly collinear. For the second aspect, efficient computation within the sampler, we focus on the important case of linear models where the computations essentially reduce to least squares calculations. Least squares solvers that update a previous model estimate are appealing when the MCMC algorithm makes local moves and we find that the Cholesky update is both fast and accurate.
Subjects: 
Bayesian Model Averaging
Sweep operator
Cholesky decomposition
QR decomposition
Swendsen-Wang algorithm
JEL: 
C11
C15
C52
C63
Document Type: 
Working Paper

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