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Bayesian Model Averaging in R

Author

Listed:
  • Shahram Amini

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

  • Christopher F. Parmeter

    (Department of Economics, University of Miami)

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.

Suggested Citation

  • Shahram Amini & Christopher F. Parmeter, 2011. "Bayesian Model Averaging in R," Working Papers 2011-9, University of Miami, Department of Economics.
  • Handle: RePEc:mia:wpaper:2011-9
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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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    References listed on IDEAS

    as
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    2. 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.
    3. Doppelhofer, G. & Weeks, M., 2005. "Jointness of Growth Determinants," Cambridge Working Papers in Economics 0542, Faculty of Economics, University of Cambridge.
    4. 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.
    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. Theo S. Eicher & Chris Papageorgiou & Adrian E. Raftery, 2011. "Default priors and predictive performance in Bayesian model averaging, with application to growth determinants," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(1), pages 30-55, January/F.
    7. Ehrlich, Isaac, 1973. "Participation in Illegitimate Activities: A Theoretical and Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 521-565, May-June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Leroi RAPUTSOANE, 2016. "Real Effective Exchange Rates Comovements and the South African Currency," Journal of Economics Library, KSP Journals, vol. 3(1), pages 57-68, March.
    2. Leroi RAPUTSOANE, 2015. "Alternative Measures of Credit Extension for Countercyclical Buffer Decisions in South Africa," Turkish Economic Review, KSP Journals, vol. 2(4), pages 210-221, December.
    3. Raputsoane, Leroi, 2016. "Real effective exchange rates comovements and the South African currency," MPRA Paper 68667, University Library of Munich, Germany.
    4. Błażejowski, Marcin & Kwiatkowski, Jacek, 2015. "Bayesian Model Averaging and Jointness Measures for gretl," Journal of Statistical Software, Foundation for Open Access Statistics.
    5. Błażejowski, Marcin & Kwiatkowski, Jacek, 2015. "Bayesian Model Averaging and Jointness Measures for gretl," Journal of Statistical Software, Foundation for Open Access Statistics.
    6. Walid Oueslati & Julien Salanié & JunJie Wu, 2014. "Urbanization and Agricultural Structural Adjustments: Some Lessons from European Cities," Working Papers 1442, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    7. Man, Georg, 2015. "Competition and the growth of nations: International evidence from Bayesian model averaging," Economic Modelling, Elsevier, vol. 51(C), pages 491-501.
    8. Leroi Raputsoane, 2014. "Disaggregated Credit Extension and Financial Distress in South Africa," Working Papers 435, Economic Research Southern Africa.
    9. Poudineh, Rahmatallah & Jamasb, Tooraj, 2016. "Determinants of investment under incentive regulation: The case of the Norwegian electricity distribution networks," Energy Economics, Elsevier, pages 193-202.
    10. Leroi RAPUTSOANE, 2016. "Disaggregated Credit Extension and Financial Distress in South Africa," Journal of Economics Library, KSP Journals, vol. 3(2), pages 226-240, June.
    11. repec:cam:camdae:1324 is not listed on IDEAS

    More about this item

    Keywords

    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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