Robust Bayesian model selection

• Main Authors: LI, Yong, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Model selection; Model misspecification; Artificial posterior distribution; Sandwich-covariance matrix; Markov chain Monte Carlo; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2112; https://ink.library.smu.edu.sg/context/soe_research/article/3112/viewcontent/Robust_Bayesian_model_selection_2013.pdf
• Institution: Singapore Management University

This paper extends the robust Bayesian inference in misspecified models of Müller (2013, Econometrica) to Bayesian model selection of a set of misspecified models. It is shown that when a model is misspecified, under the Kullback-Leibler loss function, the risk associated with Müller's posterio...