Further Results on Bayesian Method of Moments Analysis of the Multiple Regression Model |
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Authors: | Arnold Zellner & Justin Tobias |
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Institution: | University of Chicago, USA,;University of California, USA |
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Abstract: | In this article we 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. We 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. |
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