Bayesian Model Averaging in R
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.
|Date of creation:||2011|
|Publication status:||Forthcoming: Under Review|
|Contact details of provider:|| Postal: P.O. Box 248126, Coral Gables, FL 33124-6550|
Phone: (305) 284-5540
Fax: (305) 284-2985
Web page: http://www.bus.miami.edu/faculty-and-research/academic-departments/economics/index.html
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- Doppelhofer, G. & Weeks, M., 2005.
"Jointness of Growth Determinants,"
Cambridge Working Papers in Economics
0542, Faculty of Economics, University of Cambridge.
- Gernot Doppelhofer & Melvyn Weeks, 2007. "Jointness of Growth Determinants," CESifo Working Paper Series 1978, CESifo Group Munich.
- 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.
- 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.
- 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.
- 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.
- 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)