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The Impact of Data Revisions on the Robustness of Growth Determinants - A Note on 'Determinants of Economic Growth. Will Data Tell?'

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Author Info

  • Feldkircher, Martin

    ()
    (Oesterreichische Nationalbank)

  • Zeugner, Stefan

    ()
    (Université Libre de Bruxelles)

Abstract

Ciccone and Jarocinski (2010) show that inference in Bayesian model averaging (BMA) can be highly sensitive to small changes in the dependent variable. In particular they demonstrate that the importance of growth determinants in explaining growth varies tremendously over different revisions of Penn World Table (PWT) income data. They conclude that ’agnostic’ priors appear too sensible for this strand of growth empirics. In response, we show that the instability found owes much to a specific BMA set-up: the variation in results can be considerably reduced by applying an evenly ’agnostic’, but flexible prior.

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Bibliographic Info

Paper provided by University of Salzburg in its series Working Papers in Economics and Finance with number 2010-12.

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Length: 9 pages
Date of creation: 20 Aug 2010
Date of revision:
Handle: RePEc:ris:sbgwpe:2010_012

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Related research

Keywords: Bayesian model averaging; Growth determinants; Zellner’s g prior; Model uncertainty;

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References

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  1. Gernot Doppelhofer & Ronald I. Miller & Xavier Sala-i-Martin, 2000. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (Bace) Approach," OECD Economics Department Working Papers 266, OECD Publishing.
  2. Jesus Crespo Cuaresma, 2011. "How different is Africa? A comment on Masanjala and Papageorgiou," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 1041-1047, 09.
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Cited by:
  1. Ley, Eduardo & Steel, Mark F.J., 2012. "Mixtures of g-priors for Bayesian model averaging with economic applications," Journal of Econometrics, Elsevier, vol. 171(2), pages 251-266.
  2. Josef Schreiner, 2012. "Developments in Selected CESEE Countries: Heterogeneous Growth Performance, Improving Fiscal and External Accounts," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2.
  3. Aart Kraay & Norikazu Tawara, 2013. "Can specific policy indicators identify reform priorities?," Journal of Economic Growth, Springer, vol. 18(3), pages 253-283, September.
  4. Jesús Crespo Cuaresma & Martin Feldkircher, 2012. "Drivers of Output Loss during the 2008–09 Crisis: A Focus on Emerging Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2.
  5. Feldkircher, Martin & Horvath, Roman & Rusnak, Marek, 2014. "Exchange market pressures during the financial crisis: A Bayesian model averaging evidence," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 21-41.
  6. Feldkircher, Martin, 2014. "The determinants of vulnerability to the global financial crisis 2008 to 2009: Credit growth and other sources of risk," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 19-49.

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