Bayesian Model Averaging and Jointness Measures for gretl

Blazejowski, Marcin and Kwiatkowski, Jacek (2013): Bayesian Model Averaging and Jointness Measures for gretl.

Abstract

This paper presents a software package that implements Bayesian model averaging for Gnu Regression, Econometrics and Time-series Library - gretl. The Bayesian Model Averaging (BMA) is a model-building strategy that takes account of model uncertainty into conclusions about estimated parameters. It is an efficient tool for discovering the most probable models and obtaining estimates of their posterior characteristics. In recent years we have observed an increasing number of software package devoted to BMA for different statistical and econometric software. In this paper, we propose BMA package for gretl, which is more and more popular free, open-source software for econometric analysis with easy-to-use GUI. We introduce BMA package for the linear regression models with jointness measures proposed by Ley and Steel (2007) and Doppelhofer and Weeks (2009).

• Item Type: MPRA Paper
• Language: English
• Keywords: Bayesian model averaging; jointness measures; gretl; Hansl
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; O - Economic Development, Innovation, Technological Change, and Growth > O4 - Economic Growth and Aggregate Productivity > O47 - Empirical Studies of Economic Growth ; Aggregate Productivity ; Cross-Country Output Convergence; C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General

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