Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Bayesian Model Averaging and Jointness Measures for gretl | Błażejowski | Journal of Statistical Software
Authors: Marcin Błażejowski, Jacek Kwiatkowski
Title: Bayesian Model Averaging and Jointness Measures for gretl
Abstract: This paper presents a software package that implements Bayesian model averaging for gretl, the GNU regression, econometrics and time-series library. Bayesian model averaging is a model-building strategy that takes account of model uncertainty in conclusions about estimated parameters. It is an efficient tool for discovering the most probable models and obtaining estimates of their posterior characteristics. In recent years we have observed an increasing number of software packages devoted to Bayesian model averaging for different statistical and econometric software. In this paper, we propose the BMA package for gretl, which is an increasingly popular free, open-source software for econometric analysis with an easy-to-use graphical user interface. We introduce the BMA package for linear regression models with jointness measures proposed by Ley and Steel (2007) and Doppelhofer and Weeks (2009).

Page views:: 603. Submitted: 2013-02-20. Published: 2015-11-24.
Paper: Bayesian Model Averaging and Jointness Measures for gretl     Download PDF (Downloads: 581)
BMA.gfn: gretl package Download (Downloads: 59; 44KB) Replication materials Download (Downloads: 20; 1MB)

DOI: 10.18637/jss.v068.i05

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.