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Macroeconomic Applications of Bayesian Model Averaging

Moser, Mathias (2015) Macroeconomic Applications of Bayesian Model Averaging. Doctoral thesis, WU Vienna University of Economics and Business.

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Abstract

Bayesian Model Averaging (BMA) is a common econometric tool to assess the uncertainty regarding model specification and parameter inference and is widely applied in fields where no strong theoretical guidelines are present. Its major advantage over single-equation models is the combination of evidence from a large number of specifications. The three papers included in this thesis all investigate model structures in the BMA model space. The first contribution evaluates how priors can be chosen to enforce model structures in the presence of interactions terms and multicollinearity. This is linked to a discussion in the Journal of Applied Econometrics regarding the question whether being a Sub-Saharan African country makes a difference for growth modelling. The second essay is concerned with clusters of different models in the model space. We apply Latent Class Analysis to the set of sampled models from BMA and identify different subsets (kinds of) models for two well-known growth data sets. The last paper focuses on the application of "jointness", which tries to find bivariate relationships between regressors in BMA. Accordingly this approach attempts to identify substitutes and complements by linking the econometric discussion on this subject to the field of Machine Learning.(author's abstract)

Item Type: Thesis (Doctoral)
Keywords: Bayes-Verfahren
Classification Codes: RVK QH 233 ; JEL C11, C21, O47
Divisions: Departments > Volkswirtschaft > Makroökonomie
Depositing User: Mathias Moser
Date Deposited: 11 Feb 2016 12:28
Last Modified: 11 Feb 2016 12:35
FIDES Link: https://bach.wu.ac.at/d/research/results/71061/
URI: http://epub.wu.ac.at/id/eprint/4846

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