BACE and BMA variable selection and forecasting for UK money demand and inflation with Gretl

Artikel

In this paper, we apply Bayesian averaging of classical estimates (BACE) and Bayesian model averaging (BMA) as an automatic modeling procedures for two well-known macroeconometric models: UK demand for narrow money and long-term inflation. Empirical results verify the correctness of BACE and BMA selection and exhibit similar or better forecasting performance compared with a non-pooling approach. As a benchmark, we use Autometrics-an algorithm for automatic model selection. Our study is implemented in the easy-to-use gretl packages, which support parallel processing, automates numerical calculations, and allows for efficient computations.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 8 ; Year: 2020 ; Issue: 2 ; Pages: 1-29 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Bayesian pooling ; model averaging ; model uncertainty ; MPI

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Błażejowski, Marcin ; Kwiatkowski, Jacek ; Kufel, Paweł
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2020

Weitere Informationen

• DOI: doi:10.3390/econometrics8020021
• Handle: http://hdl.handle.net/10419/247569
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ