Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/247569 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 8 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-29
Verlag: 
MDPI, Basel
Zusammenfassung: 
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-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.
Schlagwörter: 
Bayesian pooling
model averaging
model uncertainty
MPI
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