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| Author: | Smith, M. Kohn, R. |
| Title: | Nonparametric regression using Bayesian variable selection |
| Journal: | Journal of Econometrics
1996 : DEC, VOL. 75:2, p. 317-344 |
| Index terms: | ECONOMETRICS ECONOMICS BAYESIAN STATISTICS |
| Language: | eng |
| Abstract: | This paper estimates an additive model semiparametrically, while automatically selecting the significant independent variables and the appropriate power transformation of the dependent variable. The nonlinear variables are modeled as regression splines, with significant knots selected from a large number of candidate knots. The estimation is made robust by modeling the errors as a mixture of normals. A Bayesian approach is used to select the significant knots, the power transformation and to identify outliers using the Gibbs sampler to carry out the computation. |
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