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Bayesian Model Averaging in R

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  • Shahram Amini

    (Department of Economics, Virginia Polytechnic Institute and State University)

  • Christopher F. Parmeter

    (Department of Economics, University of Miami)

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    Abstract

    Bayesian model averaging has increasingly witnessed applications across an array of empirical contexts. However, the dearth of available statistical software which allows one to engage in a model averaging exercise is limited. It is common for consumers of these methods to develop their own code, which has obvious appeal. However, canned statistical software can ameliorate one's own analysis if they are not intimately familiar with the nuances of computer coding. Moreover, many researchers would prefer user ready software to mitigate the inevitable time costs that arise when hard coding an econometric estimator. To that end, this paper describes the relative merits and attractiveness of several competing packages in the statistical environment R to implement a Bayesian model averaging exercise.

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    File URL: http://www.bus.miami.edu/_assets/files/faculty-and-research/academic-departments/eco/eco-working-papers/2011/WP2011-9.pdf
    File Function: First version, 2011
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    Bibliographic Info

    Paper provided by University of Miami, Department of Economics in its series Working Papers with number 2011-9.

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    Length: 35 pages
    Date of creation: 2011
    Date of revision:
    Publication status: Forthcoming: Under Review
    Handle: RePEc:mia:wpaper:2011-9

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    Related research

    Keywords: Model Averaging; Zellner's g Prior; BMS;

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    References

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    1. Gernot Doppelhofer & Melvyn Weeks, 2007. "Jointness of Growth Determinants," CESifo Working Paper Series 1978, CESifo Group Munich.
    2. Liang, Feng & Paulo, Rui & Molina, German & Clyde, Merlise A. & Berger, Jim O., 2008. "Mixtures of g Priors for Bayesian Variable Selection," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 410-423, March.
    3. Winford H. Masanjala & Chris Papageorgiou, 2008. "Rough and lonely road to prosperity: a reexamination of the sources of growth in Africa using Bayesian model averaging," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 671-682.
    4. Theo Eicher & Chris Papageogiou & Adrian E Raftery, 2007. "Default Priors and Predictive Performance in Bayesian Model Averaging, with Application to Growth Determinants," Working Papers UWEC-2007-25-P, University of Washington, Department of Economics.
    5. Paul Millar, 2005. "BIC: Stata module to evaluate the statistical significance of variables in a model," Statistical Software Components S449507, Boston College Department of Economics, revised 14 Apr 2011.
    6. Martin Feldkircher & Stefan Zeugner, 2009. "Benchmark Priors Revisited:on Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging," IMF Working Papers 09/202, International Monetary Fund.
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    Cited by:
    1. repec:cam:camdae:1324 is not listed on IDEAS
    2. Blazejowski, Marcin & Kwiatkowski, Jacek, 2013. "Bayesian Model Averaging and Jointness Measures for gretl," MPRA Paper 44322, University Library of Munich, Germany.

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