Bayesian Model Averaging with non-conjugate Priors

Tasiopoulos, Anastasios E., Tsionas, Efthymios G. and Vlastakis, Nikolaos D. (2026) Bayesian Model Averaging with non-conjugate Priors. Journal of Econometrics. ISSN 0304-4076

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Abstract

This paper considers the case of non-conjugate prior distributions for Bayesian model averaging (BMA). Although the natural conjugate setting is the default choice for BMA, mainly for reasons of analytical tractability, it has come under considerable criticism due to its unrealistic assumptions about prior information, among others. In this study, we extend the literature by considering two special cases of the multivariate Student- distribution. We obtain closed-form solutions using Laplace approximations and apply our techniques to a controlled numerical experiment and cross-country growth regressions. Our results show that, under fine tuning of the hyperparameters, the proposed approach has similar performance to the conjugate alternatives on synthetic datasets, whereas in real data it favors, on average, more parsimonious models than the conjugate alternatives and also exhibits superior predictive performance.

Item Type:	Article
Uncontrolled Keywords:	bayesian model averaging,model selection,non-conjugate priors,laplace approximation,growth regressions,4* ,/dk/atira/pure/researchoutput/REFrank/4_
Faculty \ School:	Faculty of Social Sciences > Norwich Business School
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Finance Group
Related URLs:	https://www.scopus.com/pages/publication...
Depositing User:	LivePure Connector
Date Deposited:	14 May 2026 15:17
Last Modified:	18 May 2026 09:26
URI:	https://ueaeprints.uea.ac.uk/id/eprint/103034
DOI:	10.1016/j.jeconom.2026.106256

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