Bayesian Model Averaging for Autoregressive Distributed Lag (BMA_ADL) in gretl

Blazejowski, Marcin and Kwiatkowski, Jacek (2020): Bayesian Model Averaging for Autoregressive Distributed Lag (BMA_ADL) in gretl.

Abstract

This paper presents a software package that implements Bayesian Model Averaging for Autoregressive Distributed Lag models BMA_ADL ver.~0.9 in gretl.

Gretl (the GNU regression, econometrics and time-series library) is an increasingly popular free, open-source software for econometric analysis with an easy-to-use graphical user interface.

Bayesian Model Averaging (BMA) incorporates model uncertainty into conclusions about the estimated parameters. It is an efficient tool for discovering the most likely models and variables by obtaining estimates of their posterior characteristics.

• Item Type: MPRA Paper
• Language: English
• Keywords: BMA, gretl, model selection
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling

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