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BACE: A gretl Package for Model Averaging in Limited Dependent Variable Models

Author

Listed:
  • Marcin Blazejowski

    (WSB University in Toruń)

  • Jacek Kwiatkowski

    (Nicolaus Copernicus University in Toru´n)

Abstract

This paper presents a software package called BACE (BayesianAveraging of Classical Estimates) which offers model-building strategy for various limited dependent variable models, including logit and probit models, ordered logit and probit models, multinomial logistic regression, Poisson regression, Tobit model, and interval regression. BACE strategy is a model selection method that incorporates both classical estimation and Bayesian techniques. It solves the problem of computation speed and model uncertainty that arise when dealing with a large number of competing advanced statistical models. Our BACE package is both fast and capable of delivering consistent results. The package also provides implementation of the latest proposals of BIC variants, and the latest measures of jointness. We use gretl, a popular, free, and open-source software for econometric analysis that features an easy-to-use graphical user interface.

Suggested Citation

  • Marcin Blazejowski & Jacek Kwiatkowski, 2023. "BACE: A gretl Package for Model Averaging in Limited Dependent Variable Models," gretl working papers 9, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    • Handle: RePEc:anc:wgretl:9
    as

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    File URL: http://docs.dises.univpm.it/web/quaderni/pdfgretl/gretl009.pdf
    File Function: First version, 2023
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    References listed on IDEAS

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