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- Title
BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl.
- Authors
Błażejowski, Marcin; Kwiatkowski, Jacek; Kufel, Paweł
- Abstract
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.
- Subjects
UNITED Kingdom; DEMAND for money; ALGORITHMS; NUMERICAL calculations; PARALLEL processing
- Publication
Econometrics (2225-1146), 2020, Vol 8, Issue 2, p21
- ISSN
2225-1146
- Publication type
Article
- DOI
10.3390/econometrics8020021