Benchmark Priors for Bayesian Model Averaging

By C. Fernández, E. Ley, Mark F. J. Steel. 2001

427 citations recorded by the source corpus.

Subfields: Global and Planetary Change, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/38739deb09723bdcacc993d454d70f85f97cd276

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In Global and Planetary Change

In Statistics and Probability

Citations in the corpus

On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression (2007, methodology): “…by P (Mj) = θkj (1 − θ)k−kj , assuming that each regressor enters a model independently of the others with prior probability θ. Raftery et al. (1997), Fernández et al. (2001a) and FLS choose θ = 0.5, which can be considered a benchmark choice—implying that P (Mj) = 2−k and that expected model…”
ECOLOGICAL FUTURES: BUILDING AN ECOLOGY OF THE LONG NOW1 (2002, methodology): “This procedure is known as Bayesian model averaging (Raftery et al. 1997, Fernández et al. 2001).”
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics (2010, positive): “Applications such as Forni and Reichlin (1998), Stock and Watson (1999, 2002), and Bernanke and Boivin (2003), have popularized factor methods among macroeconomists and Geweke and Zhou (1996), Otrok and Whiteman (1998) and Kose et al.”
Testing hypotheses via a mixture estimation model (2014, methodology): “In addition, model averaging (Hoeting et al., 1999; Fernandez et al., 2001) is automatically enhanced by this approach, with the further appeal of evaluating the allocation of each datapoint to one of the models under comparison.”
Least-squares forecast averaging (2008, background): “Some applications in econometrics include Sala-i-Martin et al. (2004), Brock and Durlauf (2001), Avramov (2002), Fernandez et al. (2001a,b), Garratt et al. (2003) and Brock et al. (2003).”
Natural Disasters and Human Capital Accumulation (2009, neutral): “ In this contribution we use Bayesian Model Averaging (BMA, see Raftery, 1995, and Clyde and George, 2004, for general discussions on BMA and Fernández et al., 2001b, Sala‐i‐Martin et al., 2004, among others, for applications to the issue of the …”
Mixtures of g-Priors in Generalized Linear Models (2015, methodology): “Model selection consistency (Fernández, Ley, and Steel 2001) has been widely used as a crucial criterion in prior specification.”
Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components? (2008, positive): “The availability of the algorithms mentioned above, which are computationally feasible, makes the double-exponential prior an attractive alternative to other priors used for variable selection and requiring computationally demanding algorithms, such as the one proposed by Fernandez, Ley, and Steel ”