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Bayesian Averaging of Classical Estimates (BACE) for gretl

Author

Listed:
  • Marcin Blazejowski

    (Torun School of Banking, Department of Quantitative Methods)

  • Jacek Kwiatkowski

    (Nicolaus Copernicus University in Torun, Faculty of Economics and Management)

Abstract

This paper presents a software package that implements Bayesian Averaging of Classical Estimates BACE ver. 1.1 for gretl (the GNU regression, econometrics and time-series library).

Suggested Citation

  • Marcin Blazejowski & Jacek Kwiatkowski, 2018. "Bayesian Averaging of Classical Estimates (BACE) for gretl," gretl working papers 6, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    • Handle: RePEc:anc:wgretl:6
    as

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    File URL: http://docs.dises.univpm.it/web/quaderni/pdfgretl/gretl006.pdf
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    References listed on IDEAS

    as
    1. Gernot Doppelhofer & Melvyn Weeks, 2009. "Jointness of growth determinants," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(2), pages 209-244, March.
    2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    3. Dick van Dijk, 2004. "Forecasting US Inflation Using Model Averaging," Econometric Society 2004 Australasian Meetings 143, Econometric Society.
    4. Ley, Eduardo & Steel, Mark F.J., 2007. "Jointness in Bayesian variable selection with applications to growth regression," Journal of Macroeconomics, Elsevier, vol. 29(3), pages 476-493, September.
    5. Xavier Sala-I-Martin & Gernot Doppelhofer & Ronald I. Miller, 2004. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach," American Economic Review, American Economic Association, vol. 94(4), pages 813-835, September.
    6. Albis, Manuel Leonard F. & Mapa, Dennis S., 2014. "Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models," MPRA Paper 55902, University Library of Munich, Germany.
    7. Piotr Białowolski & Tomasz Kuszewski & Bartosz Witkowski, 2014. "Bayesian averaging of classical estimates in forecasting macroeconomic indicators with application of business survey data," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(1), pages 53-68, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bayesian methods; model selection;

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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