This article was published online on 30 March 2009. An error was subsequently identified. This notice is included in the online and print versions to indicate that both have been corrected [6 April 2009].
On the effect of prior assumptions in Bayesian model averaging with applications to growth regression†
Article first published online: 30 MAR 2009
Copyright © 2009 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 24, Issue 4, pages 651–674, June/July 2009
How to Cite
Ley, E. and Steel, M. F.J. (2009), On the effect of prior assumptions in Bayesian model averaging with applications to growth regression. J. Appl. Econ., 24: 651–674. doi: 10.1002/jae.1057
- Issue published online: 27 APR 2009
- Article first published online: 30 MAR 2009
We consider the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. We examine the effect of a variety of prior assumptions on the inference concerning model size, posterior inclusion probabilities of regressors and on predictive performance. We illustrate these issues in the context of cross-country growth regressions using three datasets with 41–67 potential drivers of growth and 72–93 observations. Finally, we recommend priors for use in this and related contexts. Copyright © 2009 John Wiley & Sons, Ltd.