Bayesian Model Averaging for Linear Regression Models

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Abstract
We consider the problem of accounting for model uncertainty in linear regression models. Conditioning on a single selected model ignores model uncertainty, and thus leads to the underestimation of uncertainty when making inferences about quantities of interest. A Bayesian solution to this problem involves averaging over all possible models (i.e., combinations of predictors) when making inferences about quantities of interest. This approach is often not practical. In this article we offer two alternative approaches. First, we describe an ad hoc procedure, “Occam's window,” which indicates a small set of models over which a model average can be computed. Second, we describe a Markov chain Monte Carlo approach that directly approximates the exact solution. In the presence of model uncertainty, both of these model averaging procedures provide better predictive performance than any single model that might reasonably have been selected. In the extreme case where there are many candidate predictors but ...

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