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A Bayesian Approach to Model Uncertainty

A Bayesian Approach to Model Uncertainty »

Source: A Bayesian Approach to Model Uncertainty

Volume/Issue: 2004/68

Series: IMF Working Papers

Author(s): Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

ISBN: 9781451849028

Keywords: Economic models, Forecasting models, Dynamic Panel Estimation, Bayesian Model Averaging, probability, probabilities, hypothesis testing, bayes factors, equation

This paper develops the theoretical background for the Limited Information Bayesian Model Averaging (LIBMA). The proposed approach accounts for model uncertainty by averaging over all possible combinations of predi...

Benchmark Priors Revisited

Benchmark Priors Revisited »

Source: Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Volume/Issue: 2009/202

Series: IMF Working Papers

Author(s): Martin Feldkircher , and Stefan Zeugner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873498

Keywords: Bayesian model averaging, hyper-g prior, shrinkage factor, Zellner&;amp;#x2019;s g prior, model uncertainty, growth econometrics, noise, probabilities, statistics, bayes factor

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and...

A Bayesian Approach to Model Uncertainty

A Bayesian Approach to Model Uncertainty »

Volume/Issue: 2004/68

Series: IMF Working Papers

Author(s): Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

DOI: http://dx.doi.org/10.5089/9781451849028.001

ISBN: 9781451849028

Keywords: Economic models, Forecasting models, Dynamic Panel Estimation, Bayesian Model Averaging, probability, probabilities, hypothesis testing, bayes factors, equation

This paper develops the theoretical background for the Limited Information Bayesian Model Averaging (LIBMA). The proposed approach accounts for model uncertainty by averaging over all possible combinations of predi...

Benchmark Priors Revisited
			: On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging »

Volume/Issue: 2009/202

Series: IMF Working Papers

Author(s): Martin Feldkircher , and Stefan Zeugner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

DOI: http://dx.doi.org/10.5089/9781451873498.001

ISBN: 9781451873498

Keywords: Bayesian model averaging, hyper-g prior, shrinkage factor, Zellner&;amp;#x2019;s g prior, model uncertainty, growth econometrics, noise, probabilities, statistics, bayes factor

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and...