Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247565 
Year of Publication: 
2020
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 8 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-15
Publisher: 
MDPI, Basel
Abstract: 
This paper focuses on the Bayesian model average (BMA) using the power-expected-posterior prior in objective Bayesian variable selection under normal linear models. We derive a BMA point estimate of a predicted value, and present computation and evaluation strategies of the prediction accuracy. We compare the performance of our method with that of similar approaches in a simulated and a real data example from economics.
Subjects: 
Bayesian model averaging
Bayesian variable selection
expected-posterior priors
imaginary training samples
power-expected-posterior priors
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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