Working Papers,
Örebro University, School of Business

Abstract: Large scale Bayesian model averaging and variable selection exercises present, despite the great increase in desktop computing power, considerable computational challenges. Due to the large scale it is impossible to evaluate all possible models and estimates of posterior probabilities are instead obtained from stochastic (MCMC) schemes designed to converge on the posterior distribution over the model space. While this frees us from the requirement of evaluating all possible models the computational effort is still substantial and efficient implementation is vital. Efficient implementation is concerned with two issues: the efficiency of the MCMC algorithm itself and efficient computation of the quantities needed to obtain a draw from the MCMC algorithm. We evaluate several different MCMC algorithms and find that relatively simple algorithms with local moves perform competitively except possibly when the data is highly collinear. For the second aspect, efficient computation within the sampler, we focus on the important case of linear models where the computations essentially reduce to least squares calculations. Least squares solvers that update a previous model estimate are appealing when the MCMC algorithm makes local moves and we find that the Cholesky update is both fast and accurate.

Keywords: Bayesian Model Averaging; Sweep operator; Cholesky decomposition; QR decomposition; Swendsen-Wang algorithm

JEL-codes: C11; C15; C52; C63

41 pages, September 10, 2007

Full text files

wp-4-2007.pdf  

Download statistics

• Örebro University, School of Business
• Home page for this series

Questions (including download problems) about the papers in this series should be directed to ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:oruesi:2007_004This page generated on 2024-11-09 04:36:06.