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Bayesian model averaging and forecasting
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Steel, Mark F. J. (2011) Bayesian model averaging and forecasting. Bulletin of E.U. and U.S. Inflation and Macroeconomic Analysis (No.200). pp. 30-41.
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Abstract
This paper focuses on the problem of variable selection in
linear regression models. I briefy review the method of Bayesian model averaging, which has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. Some of the literature is discussed with particular emphasis on forecasting in economics. The role of the prior assumptions in these procedures is highlighted, and some recommendations for applied users are given.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Bayesian statistical decision theory, Econometric models, Economic forecasting -- Mathematical models | ||||
Journal or Publication Title: | Bulletin of E.U. and U.S. Inflation and Macroeconomic Analysis | ||||
Official Date: | May 2011 | ||||
Dates: |
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Number: | No.200 | ||||
Page Range: | pp. 30-41 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
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