ParMA: Parallelised Bayesian Model Averaging for Generalised Linear Models

Riccardo (Jack) Lucchetti and Luca Pedini

No 2020:28, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: This paper describes the gretl function package ParMA, which provides Bayesian model averaging in generalised linear models. In order to over-come the lack of analytical specification for many of the models covered, the package features an implementation of the reversible jump Markov chain Monte Carlo technique, following the original idea by Green (1995), as a flexible tool to model several specifications. Particular attention is devoted to computational aspects such as the automatisation of the model building procedure and the parallelisation of the sampling scheme.

Keywords: BMA; GLM; RJMCMC; parallelisation (search for similar items in EconPapers)
JEL-codes: C11 C20 C63 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2020
New Economics Papers: this item is included in nep-cmp
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Citations: View citations in EconPapers (1)

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