Bayesian Averaging, Prediction and Nonnested Model Selection
This paper studies the asymptotic relationship between Bayesian model averaging and post-selection frequentist predictors in both nested and nonnested models. We derive conditions under which their difference is of a smaller order of magnitude than the inverse of the square root of the sample size in large samples. This result depends crucially on the relation between posterior odds and frequentist model selection criteria. Weak conditions are given under which consistent model selection is...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Econometrics|
|01_Hong_Bayesian_Averaging,_Prediction_2012.pdf||833.9 kB||Adobe PDF||Request a copy|
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