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

Marcin Błażejowski, Pawel Kufel and Jacek Kwiatkowski

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we revisit the well-known UK inflation model by Hendry (Journal of Applied Econometrics 2001, 16:255-275. doi: 10.1002/jae.615). 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 to compare model reduction strategies. Allowing for the investigation of other specifications, we confirm the same set of significant determinants but find that Hendrys' model is not the most probable.

Keywords: BACE; gretl; model uncertainty; reduction strategy (search for similar items in EconPapers)
JEL-codes: C11 C52 E31 (search for similar items in EconPapers)
Date: 2018-08-30
New Economics Papers: this item is included in nep-mac and nep-mon
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/98581/1/MPRA_paper_95923.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/102817/1/MPRA_paper_95923.pdf revised version (application/pdf)

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