We Just Averaged over Two Trillion Cross-Country Growth Regressions
Eduardo Ley and
Mark Steel ()
No 1999/101, IMF Working Papers from International Monetary Fund
We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian model averaging (BMA). We find that the posterior probability is distributed among many models, suggesting the superiority of BMA over any single model. Out-of-sample predictive results support that claim. In contrast with Levine and Renelt (1992), our results broadly support the more “optimistic” conclusion of Sala-i-Martin (1997b), namely, that some variables are important regressors for explaining cross-country growth patterns. However, the variables we identify as most useful for growth regression differ substantially from Sala-i-Martin’s results.
Keywords: WP; regression coefficient (search for similar items in EconPapers)
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