Model weights for model choice and averaging

A method is suggested to estimate posterior model probabilities and model averaged parameters via MCMC sampling under a Bayesian approach. The estimates use pooled output for JJ models (J>1)(J>1) whereby all models are updated at each iteration. Posterior probabilities are based on averages of continuous weights obtained for each model at each iteration, while samples of averaged parameters are obtained from iteration specific averages that are based on these weights. Parallel sampling of models assists in deriving posterior densities for parameter contrasts between models and in assessing hypotheses regarding model averaged parameters. Four worked examples illustrate application of the approach, two involving fixed effect regression, and two involving random effects.