Model simplification and variable selection: A replication of the UK inflation model by Hendry (2001)

Marcin Błażejowski, Pawel Kufel and Jacek Kwiatkowski

Journal of Applied Econometrics, 2020, vol. 35, issue 5, 645-652

Abstract: In this paper, we revisit the well‐known UK inflation model by Hendry (Journal of Applied Econometrics, 2001, 16, 255–275. We replicate the results in a narrow sense using the gretl and PcGive programs. In a wide sense, we extend the study of model uncertainty using the Bayesian averaging of classical estimates (BACE) approach as an automatic model reduction strategy. We consider three different specifications to compare BACE variable selection with Hendry's reduction. We find that the BACE method can recover the path of nontrivial reduction strategy.

Date: 2020
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Citations: View citations in EconPapers (4)

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https://doi.org/10.1002/jae.2760

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Working Paper: Model simplification and variable selection: A Replication of the UK inflation model by Hendry (2001) (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:japmet:v:35:y:2020:i:5:p:645-652

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