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Jointness in Bayesian variable selection with applications to growth regression
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Ley, Eduardo and Steel, Mark F. J. (2007) Jointness in Bayesian variable selection with applications to growth regression. Journal of Macroeconomics, Vol.29 (No.3). pp. 476-493. doi:10.1016/j.jmacro.2006.12.002
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Official URL: http://dx.doi.org/10.1016/j.jmacro.2006.12.002
Abstract
We present a measure of jointness to explore dependence among regressors, in the context of Bayesian model selection. The jointness measure proposed here equals the posterior odds ratio between those models that include a set of variables and the models that only include proper subsets. We illustrate its application in cross-country growth regressions using two datasets from the model-averaging growth literature. (c) 2007 Elsevier Inc. All rights reserved.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions Q Science > QA Mathematics |
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| Divisions: | Faculty of Science > Statistics | ||||
| Library of Congress Subject Headings (LCSH): | Uncertainty -- Econometric models, Bayesian statistical decision theory, Gross domestic product -- Forecasting -- Econometric models, Regression analysis | ||||
| Journal or Publication Title: | Journal of Macroeconomics | ||||
| Publisher: | Elsevier BV * North-Holland | ||||
| ISSN: | 0164-0704 | ||||
| Official Date: | September 2007 | ||||
| Dates: |
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| Volume: | Vol.29 | ||||
| Number: | No.3 | ||||
| Number of Pages: | 18 | ||||
| Page Range: | pp. 476-493 | ||||
| DOI: | 10.1016/j.jmacro.2006.12.002 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published |
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