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A Review of the ‘BMS’ Package for R with Focus on Jointness

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  • Shahram Amini

    (Daniels College of Business, University of Denver, Denver, CO 80208, USA
    We thank the editor and two anonymous referees for valuable feedback that improved the manuscript. The usual caveat applies. All code and data for this paper are available upon request.)

  • Christopher F. Parmeter

    (Department of Economics, University of Miami, Coral Gables, FL 33146, USA
    We thank the editor and two anonymous referees for valuable feedback that improved the manuscript. The usual caveat applies. All code and data for this paper are available upon request.)

Abstract

We provide a general overview of Bayesian model averaging (BMA) along with the concept of jointness. We then describe the relative merits and attractiveness of the newest BMA software package, BMS, available in the statistical language R to implement a BMA exercise. BMS provides the user a wide range of customizable priors for conducting a BMA exercise, provides ample graphs to visualize results, and offers several alternative model search mechanisms. We also provide an application of the BMS package to equity premia and describe a simple function that can easily ascertain jointness measures of covariates and integrates with the BMS package.

Suggested Citation

  • Shahram Amini & Christopher F. Parmeter, 2020. "A Review of the ‘BMS’ Package for R with Focus on Jointness," Econometrics, MDPI, vol. 8(1), pages 1-21, February.
    • Handle: RePEc:gam:jecnmx:v:8:y:2020:i:1:p:6-:d:324495
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    References listed on IDEAS

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