BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl

BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl

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 sel...

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Bibliographic Details
Main Authors: Marcin Błażejowski, Jacek Kwiatkowski, Paweł Kufel
Format: Article
Language:English
Published: MDPI AG 2020-05-01
Series:Econometrics
Subjects:
model uncertainty
Bayesian pooling
MPI
model averaging
Online Access:https://www.mdpi.com/2225-1146/8/2/21

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