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Bayesian Averaging, Prediction and Nonnested Model Selection

Hong, Han; Preston, Bruce


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]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
Source: Journal of Econometrics
DOI: 10.1016/j.jeconom.2011.09.021


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