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Growth Regressions, Principal Components Augmented Regressions and Frequentist Model Averaging

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  • Wagner Martin

    (Faculty of Statistics, Technical University Dortmund, Vogelpothsweg 87, 44227 Dortmund, Germany; and Institute for Advanced Studies, Vienna, Austria)

  • Hlouskova Jaroslava

    (Institute for Advanced Studies, Vienna, Austria and Thompson Rivers University, Kamloops, Canada)

Abstract

In this paper we consider frequentist model averaging for principal components augmented regressions illustrated with the Fernandez et al. (2001) data set on economic growth determinants. We compare and contrast our method and findings with the WALS approach of Magnus et al. (2010).

Suggested Citation

  • Wagner Martin & Hlouskova Jaroslava, 2015. "Growth Regressions, Principal Components Augmented Regressions and Frequentist Model Averaging," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(6), pages 642-662, December.
    • Handle: RePEc:jns:jbstat:v:235:y:2015:i:6:p:642-662
    DOI: 10.1515/jbnst-2015-0608
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    References listed on IDEAS

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    1. Kevin D. Hoover & Stephen J. Perez, 2004. "Truth and Robustness in Cross‐country Growth Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 765-798, December.
    2. Carmen Fernandez & Eduardo Ley & Mark F. J. Steel, 2001. "Model uncertainty in cross-country growth regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 563-576.
    3. Schneider Ulrike & Wagner Martin, 2012. "Catching Growth Determinants with the Adaptive Lasso," German Economic Review, De Gruyter, vol. 13(1), pages 71-85, February.
    4. David F. Hendry & Hans‐Martin Krolzig, 2004. "We Ran One Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 799-810, December.
    5. David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 799-810, December.
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    Cited by:

    1. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    2. Wagner Martin & Zeileis Achim, 2019. "Heterogeneity and Spatial Dependence of Regional Growth in the EU: A Recursive Partitioning Approach," German Economic Review, De Gruyter, vol. 20(1), pages 67-82, February.

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