Advantages to Model Averaging

Classical approach breaks down on high-dimensional parameter spaces
- Significance tests not valid when many models are considered
- No good basis for deciding among competing model choice heuristics
- No way to account for hidden variability due to model exploration
Bayesian approach provides unified framework for:
- Combining into a single analysis
  - exploration
  - model choice
  - parameter estimation
- Suggesting and evaluating competing heuristic approaches