BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl
Jacek Kwiatkowski () and
Paweł Kufel ()
Additional contact information
Jacek Kwiatkowski: Faculty of Economic Sciences and Management, Nicolaus Copernicus University, ul. Gagarina 13a, 87-100 Toruń, Poland
Paweł Kufel: Faculty of Finance and Management, WSB University in Torun, ul. Młodzieżowa 31a, 87-100 Toruń, Poland
Econometrics, 2020, vol. 8, issue 2, 1-29
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.
Keywords: model uncertainty; Bayesian pooling; MPI; model averaging (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:8:y:2020:i:2:p:21-:d:361756
Access Statistics for this article
Econometrics is currently edited by Prof. Dr. Kerry Patterson
More articles in Econometrics from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().