BACE: A gretl Package for Model Averaging in Limited Dependent Variable Models

Marcin Błażejowski and Jacek Kwiatkowski ()
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Jacek Kwiatkowski: Nicolaus Copernicus University in Toru´n

No 9, gretl working papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: This paper presents a software package called BACE (BayesianAveraging of Classical Estimates) which offers model-building strategy for various limited dependent variable models, including logit and probit models, ordered logit and probit models, multinomial logistic regression, Poisson regression, Tobit model, and interval regression. BACE strategy is a model selection method that incorporates both classical estimation and Bayesian techniques. It solves the problem of computation speed and model uncertainty that arise when dealing with a large number of competing advanced statistical models. Our BACE package is both fast and capable of delivering consistent results. The package also provides implementation of the latest proposals of BIC variants, and the latest measures of jointness. We use gretl, a popular, free, and open-source software for econometric analysis that features an easy-to-use graphical user interface.

Keywords: BMA; model selection; BIC; gretl; Hansl (search for similar items in EconPapers)
Pages: 40
Date: 2023-03
New Economics Papers: this item is included in nep-dcm
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Persistent link: https://EconPapers.repec.org/RePEc:anc:wgretl:9

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