Concept Based Bayesian Model Averaging And Growth Empirics PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Concept Based Bayesian Model Averaging And Growth Empirics PDF full book. Access full book title Concept Based Bayesian Model Averaging And Growth Empirics.
Author | : J.R Magnus |
Publisher | : |
Total Pages | : 0 |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Concept-Based Bayesian Model Averaging and Growth Empirics Book in PDF, ePub and Kindle
In specifying a regression equation, we need to determine which regressors to include, but also how these regressors are measured. This gives rise to two levels of uncertainty: concepts (level 1) and measurements within each concept (level 2). In this paper we propose a hierarchical weighted least squares (HWALS) method to address these uncertainties. We examine the effects of different growth theories taking into account the measurement problem in the growth regression. We find that estimates produced by HWALS provide intuitive and robust explanations. We also consider approximation techniques when the number of variables is large or when computing time is limited, and we propose possible strategies for sensitivity analysis.
Author | : Stefan Zeugner |
Publisher | : International Monetary Fund |
Total Pages | : 41 |
Release | : 2009-09-01 |
Genre | : Business & Economics |
ISBN | : 1451873492 |
Download Benchmark Priors Revisited Book in PDF, ePub and Kindle
Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts posterior model distributions to data quality. Analytically, existing work on the hyper-g-prior is complemented by posterior expressions essential to fully Bayesian analysis and to sound numerical implementation. A simulation experiment illustrates the implications for posterior inference. Furthermore, an application to determinants of economic growth identifies several covariates whose robustness differs considerably from previous results.
Author | : Eduardo Ley |
Publisher | : |
Total Pages | : 32 |
Release | : 2007 |
Genre | : Bayesian statistical decision theory |
ISBN | : |
Download On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression Book in PDF, ePub and Kindle
This paper examines the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. The paper analyzes the effect of a variety of prior assumptions on the inference concerning model size, posterior inclusion probabilities of regressors, and predictive performance. The analysis illustrates these issues in the context of cross-country growth regressions using three datasets with 41 to 67 potential drivers of growth and 72 to 93 observations. The results favor particular prior structures for use in this and related contexts.
Author | : Siddhartha Chib |
Publisher | : Emerald Group Publishing |
Total Pages | : 656 |
Release | : 2008-12-18 |
Genre | : Business & Economics |
ISBN | : 1848553099 |
Download Bayesian Econometrics Book in PDF, ePub and Kindle
Illustrates the scope and diversity of modern applications, reviews advances, and highlights many desirable aspects of inference and computations. This work presents an historical overview that describes key contributions to development and makes predictions for future directions.
Author | : Giuseppe De Luca |
Publisher | : |
Total Pages | : 29 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download Bayesian Model Averaging and Weighted Average Least Squares Book in PDF, ePub and Kindle
Author | : Roman Horvath Iftekhar Hasan |
Publisher | : |
Total Pages | : 0 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download What Type of Finance Matters for Growth? Bayesian Model Averaging Evidence Book in PDF, ePub and Kindle
Author | : Theo S. Eicher |
Publisher | : |
Total Pages | : 0 |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Bayesian Model Averaging and Endogeneity Under Model Uncertainty Book in PDF, ePub and Kindle
Recent approaches to development accounting reflect substantial model uncertainty at both the instrument and the development determinant level. Bayesian Model Averaging (BMA) has been proven useful in resolving model uncertainty in economics, and we extend BMA to formally account for model uncertainty in the presence of endogeneity. The new methodology is shown to be highly efficient and to reduce many instrument bias; in a simulation study we found that IVBMA estimates reduced mean squared error by 60% over standard IV estimates. We also introduce Bayesian over and under-identification tests that are based on model averaged predictive p-values. This approach is shown to mitigate the reduction in power these tests experience as dimension increases. In a simulation study where the exogeneity of the instrument is compromised we show that the classical Sargan test has a power of 0.2% while our Bayesian over-identification test has a power of 98% at detecting the violation of the exogeneity assumption. An application of our method to a prominent development accounting approach leads to new insights regarding the primacy of institutions. Using identical data and robustness specifications we find support not only for institutions, but also for geography and integration, once both model uncertainty and endogeneity have been jointly addressed.
Author | : Chew Lian Chua |
Publisher | : |
Total Pages | : 356 |
Release | : 2003 |
Genre | : Bayesian statistical decision theory |
ISBN | : |
Download Examples of Bayesian Model Averaging in Econometrics Book in PDF, ePub and Kindle
Author | : Richard Hugo Kleijn |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : 9789051707663 |
Download Essays on Bayesian Model Averaging Using Economic Time Series Book in PDF, ePub and Kindle
Author | : Robert W. Jones |
Publisher | : |
Total Pages | : 56 |
Release | : 2018 |
Genre | : Finance |
ISBN | : 9780438392175 |
Download Bayesian Model Averaging for Realized Volatility Models Book in PDF, ePub and Kindle
This research explores statistical methods for forecasting realized volatility for stock market holdings; primarily Stochastic Dierential Equations for the development of various volatility measures and Bayesian Model Averaging for the development and optimization of a linear model capable of predicting said volatility. These methods will be outlined and explained before being applied to high frequency trade data.