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Bayesian model selection for a sharp null and a diffuse alternative with econometric applications

Author

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  • Strachan, R.W.
  • van Dijk, H.K.
Abstract
In this paper a potential solution is given to the conflict in Bayesian inference between the desire to employ diffuse priors to represent ignorance and the desire to report proper posterior probabilities for alternative models. Using the concept of Stiefel manifolds, diffuse priors are specified on dimension and direction of subspaces of parameter spaces within the context of a linear regression model and a cointegration model. The approach is illustrated using a CAPM and a term structure of interest rates model.

Suggested Citation

  • Strachan, R.W. & van Dijk, H.K., 2003. "Bayesian model selection for a sharp null and a diffuse alternative with econometric applications," Econometric Institute Research Papers EI 2003-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:1707
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    File URL: https://repub.eur.nl/pub/1707/feweco20030326144908.pdf
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    Citations

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    Cited by:

    1. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2008. "Bayesian inference in a cointegrating panel data model," Advances in Econometrics, in: Bayesian Econometrics, pages 433-469, Emerald Group Publishing Limited.
    2. Gary Koop & Rodney Strachan & Herman van Dijk & Mattias Villani, 2004. "Bayesian Approaches to Cointegration," Discussion Papers in Economics 04/27, Division of Economics, School of Business, University of Leicester.

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    Keywords

    Bayesian model selection;

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