Artikel
Bayesian model averaging using power-expected-posterior priors
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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 8 ; Year: 2020 ; Issue: 2 ; Pages: 1-15 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
Bayesian model averaging
Bayesian variable selection
expected-posterior priors
imaginary training samples
power-expected-posterior priors
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fouskakis, Dimitris
Ntzoufras, Ioannis
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/econometrics8020017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Fouskakis, Dimitris
- Ntzoufras, Ioannis
- MDPI
Entstanden
- 2020
Ähnliche Objekte (12)
Sovereign risk indices and Bayesian theory averaging
Bayesian model comparison based on expected posterior priors for discrete decomposable graphical models
Bayesian model weighting : the many faces of model averaging
Forecasting in large macroeconomic panels using Bayesian model averaging
Bayesian model averaging with the integrated nested laplace approximation
Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach
Regional income convergence in Europe: a Bayesian model averaging perspective
Bayesian model averaging and prior sensitivity in stochastic frontier analysis
Which Factors Capitalize into House Prices? A Bayesian Averaging Approach
Macroeconomic Forecasts in Models with Bayesian Averaging of Classical Estimates
Forecast combination and Bayesian model averaging: A prior sensitivity analysis
Forecasting natural gas consumption in China by Bayesian Model Averaging
Sovereign risk indices and Bayesian theory averaging
Bayesian model comparison based on expected posterior priors for discrete decomposable graphical models
Bayesian model weighting : the many faces of model averaging
Forecasting in large macroeconomic panels using Bayesian model averaging
Bayesian model averaging with the integrated nested laplace approximation
Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach
Regional income convergence in Europe: a Bayesian model averaging perspective
Bayesian model averaging and prior sensitivity in stochastic frontier analysis
Which Factors Capitalize into House Prices? A Bayesian Averaging Approach
Macroeconomic Forecasts in Models with Bayesian Averaging of Classical Estimates
Forecast combination and Bayesian model averaging: A prior sensitivity analysis
Forecasting natural gas consumption in China by Bayesian Model Averaging
Sovereign risk indices and Bayesian theory averaging
Bayesian model comparison based on expected posterior priors for discrete decomposable graphical models
Bayesian model weighting : the many faces of model averaging
Forecasting in large macroeconomic panels using Bayesian model averaging
Bayesian model averaging with the integrated nested laplace approximation
Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach
Regional income convergence in Europe: a Bayesian model averaging perspective
Bayesian model averaging and prior sensitivity in stochastic frontier analysis
Which Factors Capitalize into House Prices? A Bayesian Averaging Approach
Macroeconomic Forecasts in Models with Bayesian Averaging of Classical Estimates
Forecast combination and Bayesian model averaging: A prior sensitivity analysis