Bayesian model selection with an uninformative prior

Strachan, Rodney W. and van Dijk, Herman K. (2003) Bayesian model selection with an uninformative prior. Oxford Bulletin of Economics and Statistics, 65 Supp. 1: 863-876. doi:10.1046/j.0305-9049.2003.00095.x

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Author Strachan, Rodney W.
van Dijk, Herman K.
Title Bayesian model selection with an uninformative prior
Journal name Oxford Bulletin of Economics and Statistics   Check publisher's open access policy
ISSN 0305-9049
Publication date 2003
Sub-type Article (original research)
DOI 10.1046/j.0305-9049.2003.00095.x
Volume 65
Issue Supp. 1
Start page 863
End page 876
Total pages 14
Place of publication Oxford, United Kingdom
Publisher Wiley-Blackwell Publishing
Language eng
Subject 1403 Econometrics
Abstract Bayesian model selection with posterior probabilities and no subjective prior information is generally not possible because of the Bayes factors being ill-defined. Using careful consideration of the parameter of interest in cointegration analysis and a re-specification of the triangular model of Phillips (Econometrica, Vol. 59, pp. 283-306, 1991), this paper presents an approach that allows for Bayesian comparison of models of cointegration with 'ignorance' priors. Using the concept of Stiefel and Grassman manifolds, diffuse priors are specified on the dimension and direction of the cointegrating space. The approach is illustrated using a simple term structure of the interest rates model.
Keyword Bayesian model selection
Cointegration analysis
Bayesian comparison of models
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collections: Excellence in Research Australia (ERA) - Collection
School of Economics Publications
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Citation counts: TR Web of Science Citation Count  Cited 5 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 6 times in Scopus Article | Citations
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Created: Wed, 17 Oct 2007, 12:34:21 EST