Chapter 16: Bayesian Methods for Model Comparison, Selection and Big Data

Exercises, Programs and Files:

• 16.3: Calculating Marginal Likelihoods with Generated Data
  • mlcalc.m

• 16.6: BMA: An Application in Economic Growth
  • Supporting Files:
    • GROWTH.dat (data)
    • Main m-file
      • Note: You may need to change line 5 to "load GROWTH.txt" if the data set saves with a .txt extension.

• 16.7: Stochastic Search Variable Selection (SSVS)
  • ssvs.m

• 16.8: The Least Absolute Shrinkage and Selection Operator (LASSO)
  • LASSO.m
    • Supporting Files:
      • GROWTH.DAT (see comment in Exercise 16.6 related to .txt extension)
      • Draw_IG.m
      • Draw_iGamma.m
      • Draw_Normal.m

• 16.9: Non-parametric Regression Via Variable Selection: Smith and Kohn (1996)
  • smithkohn.m