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A Review of the `BMS' Package for R


  • Shahram Amini

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

  • Christopher F. Parmeter

    (Department of Economics, University of Miami)


This paper describes the relative merits and attractiveness of the newest Bayesian model averaging package, BMS, available in the statistical software R to implement a Bayesian model averaging exercise. This package provides the user with a wide range of customizable priors for conducting a BMA analysis, provides ample graphs to visualize the results and offers several alternative model search mechanisms.

Suggested Citation

  • Shahram Amini & Christopher F. Parmeter, 2011. "A Review of the `BMS' Package for R," Working Papers 2011-8, University of Miami, Department of Economics.
  • Handle: RePEc:mia:wpaper:2011-8

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    File Function: First version, 2011
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    References listed on IDEAS

    1. Croissant, Yves & Millo, Giovanni, 2008. "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i02).
    2. Jeff Racine & Rob Hyndman, 2002. "Using R to teach econometrics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 175-189.
    3. Harrison, David Jr. & Rubinfeld, Daniel L., 1978. "Hedonic housing prices and the demand for clean air," Journal of Environmental Economics and Management, Elsevier, vol. 5(1), pages 81-102, March.
    4. 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.
    5. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Model Averaging; Zellner's g Prior; BMS;

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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