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Bayesian Model Averaging for Autoregressive Distributed Lag (BMA_ADL) in gretl

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  • Blazejowski, Marcin
  • Kwiatkowski, Jacek

Abstract

This paper presents a software package that implements Bayesian Model Averaging for Autoregressive Distributed Lag models BMA_ADL ver.~0.9 in gretl. Gretl (the GNU regression, econometrics and time-series library) is an increasingly popular free, open-source software for econometric analysis with an easy-to-use graphical user interface. Bayesian Model Averaging (BMA) incorporates model uncertainty into conclusions about the estimated parameters. It is an efficient tool for discovering the most likely models and variables by obtaining estimates of their posterior characteristics.

Suggested Citation

  • Blazejowski, Marcin & Kwiatkowski, Jacek, 2020. "Bayesian Model Averaging for Autoregressive Distributed Lag (BMA_ADL) in gretl," MPRA Paper 98387, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:98387
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    References listed on IDEAS

    as
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    6. Moral-Benito, Enrique, 2010. "Model averaging in economics," MPRA Paper 26047, University Library of Munich, Germany.
    7. Chan,Joshua & Koop,Gary & Poirier,Dale J. & Tobias,Justin L., 2019. "Bayesian Econometric Methods," Cambridge Books, Cambridge University Press, number 9781108423380.
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    Cited by:

    1. Marcin Błażejowski & Jacek Kwiatkowski & Paweł Kufel, 2020. "BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl," Econometrics, MDPI, vol. 8(2), pages 1-29, May.

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    More about this item

    Keywords

    BMA; gretl; model selection;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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