Bayesian Model Averaging for Autoregressive Distributed Lag (BMA_ADL) in 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 Autoregressive Distributed Lag models BMA_ADL ver.~0.9 in gretl. Gretl (the GNU regression, econometrics and time-series library) is an increasingly popular free, open-source software for econometric analysis with an easy-to-use graphical user interface. Bayesian Model Averaging (BMA) incorporates model uncertainty into conclusions about the estimated parameters. It is an efficient tool for discovering the most likely models and variables by obtaining estimates of their posterior characteristics.

Keywords: BMA; gretl; model selection (search for similar items in EconPapers)
JEL-codes: C2 C51 C63 (search for similar items in EconPapers)
Date: 2020-01-17
New Economics Papers: this item is included in nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/98387/1/MPRA_paper_98387.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:98387

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().