Post-model selection inference and model averaging
نویسندگان
چکیده
منابع مشابه
Bayesian Model Averaging , Learning and Model Selection ∗
Agents have two forecasting models, one consistent with the unique rational expectations equilibrium, another that assumes a time-varying parameter structure. When agents use Bayesian updating to choose between models in a self-referential system, we find that learning dynamics lead to selection of one of the two models. However, there are parameter regions for which the non-rational forecastin...
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ژورنال
عنوان ژورنال: Pakistan Journal of Statistics and Operation Research
سال: 2011
ISSN: 2220-5810,1816-2711
DOI: 10.18187/pjsor.v7i2-sp.292