search query: @indexterm BAYESIAN STATISTICS / total: 167
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Author: | Zellner, A. Tobias, J. |
Title: | Further Results on Bayesian Method of Moments Analysis of the Multiple Regression Model |
Journal: | International Economic Review
2001 : FEB, VOL. 42:1, p. 121-140 |
Index terms: | BAYESIAN STATISTICS MULTIPLE REGRESSION ANALYSIS MODELS |
Language: | eng |
Abstract: | In this article the authors extend previous BMOM results by showing how information about a variance parameter and its relation to regression coefficients produces a rich class of postdata densities for regression parameters. Prediction and model selection techniques are also described. The authors also discuss the well-documented link between cross-entropy and the average log odds and then use this criterion in an experiment to compare results obtained from BMOM and Bayes approaches using data generated from known models. First the authors review the BMOM assumptions and demonstrate how various moment conditions are arrived. Then it is discussed how the posterior odds can be used to select among alternative BMOM and traditional Bayesian models and generated data from a simple regression model. |
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