BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl
| Autor: | Jacek Kwiatkowski, Marcin Błażejowski, Paweł Kufel |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Inflation
Economics and Econometrics Correctness Computer science lcsh:HB71-74 media_common.quotation_subject Model selection Bayesian probability lcsh:Economics as a science Feature selection model averaging Bayesian inference Bayesian pooling Econometrics Benchmark (computing) ddc:330 model uncertainty MPI Selection (genetic algorithm) media_common |
| Zdroj: | Econometrics, Vol 8, Iss 21, p 21 (2020) Econometrics Volume 8 Issue 2 |
| ISSN: | 2225-1146 |
| Popis: | In this paper, we apply Bayesian averaging of classical estimates (BACE) and Bayesian model averaging (BMA) as an automatic modeling procedures for two well-known macroeconometric models: UK demand for narrow money and long-term inflation. Empirical results verify the correctness of BACE and BMA selection and exhibit similar or better forecasting performance compared with a non-pooling approach. As a benchmark, we use Autometrics&mdash an algorithm for automatic model selection. Our study is implemented in the easy-to-use gretl packages, which support parallel processing, automates numerical calculations, and allows for efficient computations. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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