Modeling uncertainty in macroeconomic growth determinants using Gaussian graphical models

Adrian Dobra, Theo Eicher and Alexander Lenkoski
Additional contact information
Adrian Dobra: University of Washington
Alexander Lenkoski: University of Washington

Working Papers from University of Washington, Department of Economics

Abstract: Model uncertainty has become a central focus of policy discussion surrounding the determinants of economic growth. Over 140 regressors have been employed in growth empirics due to the proliferation of several new growth theories in the past two decades. Recently Bayesian model averaging (BMA) has been employed to address model uncertainty and to provide clear policy implications by identifying robust growth determinants. The BMA approaches were, however, limited to linear regression models that abstract from possible dependencies embedded in the covariance structures of growth determinants. The recent empirical growth literature has developed jointness measures to highlight such dependencies. We address model uncertainty and covariate dependencies in a comprehensive Bayesian framework that allows for structural learning in linear regressions and Gaussian graphical models. A common prior specification across the entire comprehensive framework provides consistency. Gaussian graphical models allow for a principled analysis of dependency structures, which allows us to generate a much more parsimonious set of fundamental growth determinants. Our empirics are based on a prominent growth dataset with 41 potential economic factors that has been the utilized in numerous previous analyses to account for model uncertainty as well as jointness.

Date: 2009-12
New Economics Papers: this item is included in nep-ecm and nep-fdg
References: Add references at CitEc
Citations:

Published in Statistical Methodology, Volume

Downloads: (external link)
http://www.csss.washington.edu/Papers/wp87.pdf (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:udb:wpaper:uwec-2009-14-p

Access Statistics for this paper

More papers in Working Papers from University of Washington, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Michael Goldblatt ().