Bayesian Model Averaging and Jointness Measures for gretl

Marcin Błażejowski and Jacek Kwiatkowski

MPRA Paper from University Library of Munich, Germany

Abstract: This paper presents a software package that implements Bayesian model averaging for Gnu Regression, Econometrics and Time-series Library - gretl. The Bayesian Model Averaging (BMA) is a model-building strategy that takes account of model uncertainty into conclusions about estimated parameters. It is an efficient tool for discovering the most probable models and obtaining estimates of their posterior characteristics. In recent years we have observed an increasing number of software package devoted to BMA for different statistical and econometric software. In this paper, we propose BMA package for gretl, which is more and more popular free, open-source software for econometric analysis with easy-to-use GUI. We introduce BMA package for the linear regression models with jointness measures proposed by Ley and Steel (2007) and Doppelhofer and Weeks (2009).

Keywords: Bayesian model averaging; jointness measures; gretl; Hansl (search for similar items in EconPapers)
JEL-codes: C11 C51 C87 O47 (search for similar items in EconPapers)
Date: 2013-02-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/61431/8/MPRA_paper_61431.pdf revised version (application/pdf)

Related works:
Journal Article: Bayesian Model Averaging and Jointness Measures for gretl (2015)
Working Paper: Bayesian Model Averaging and Jointness Measures for gretl (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:44322

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