Model averaging in economics: An overview

Journal of Economic Surveys

Volumn 29, Issue 1, 2015, Pages 46-75

  Moral Benito, Enrique ^a  

^a BANCO DE ESPAÑA   (Spain)

Author keywords

Capital punishment; Model averaging; Model uncertainty

Indexed keywords

EID: 84920993584     PISSN: 09500804     EISSN: 14676419     Source Type: Journal    
DOI: 10.1111/joes.12044     Document Type: Article

References (122)

1. Alvarez, J. and Arellano, M. (2003) The time series and cross-section asymptotics of dynamic panel data estimators. Econometrica 71: 1121-1159.
2. Avramov, D. (2002) Stock return predictability and model uncertainty. Journal of Financial Economics 64: 423-258.
3. Barnard, G. (1963) New methods of quality control. Journal of the Royal Statistical Society Series A 126: 255-258.
4. Bartlett, M. (1957) A comment on D.V. Lindleys statistical paradox. Biometrika 44: 533-534.
5. Bates, J. and Granger, C. (1969) The combination of forecasts. Operational Research Quarterly 20: 451-468.
6. Berger, J. (1985) Statistical Decision Theory and Bayesian Analysis. New York: Springer-Verlag.
7. Berger, J. and Pericchi, L. (1993) The intrinsic Bayes factor for model selection. Technical Report 93-43C, Department of Statistics, Purdue University, West Lafayette.
8. Brock, W., Durlauf, S. and West, K. (2003) Policy evaluation in uncertain economic environments. Brookings Papers on Economic Activity 1: 235-322.
9. Brock, W., Durlauf, S. and West, K. (2006) Model uncertainty and policy evaluation: some theory and empirics. Journal of Econometrics 136: 629-664.
10. Buckland, S., Burnham, K. and Augustin, N. (1997) Model selection: an integral part of inference. Biometrics 53: 603-618.
11. Chen, H., Mirestean, A. and Tsangarides, C. (2009) Limited information Bayesian model averaging for dynamic panels with short time periods. Working Paper WP/09/74, IMF.
12. Claeskens, G. and Hjort, N. (2003) The focused information criterion. Journal of the American Statistical Association 98: 900-916.
13. Claeskens, G. and Hjort, N. (2008) Model Selection and Model Averaging. Cambridge: Cambridge University Press.
14. Clemen, R. (1989) combining forecasts: a review and annotated bibliography. International Journal of Forecasting 5: 559-583.
15. Clemen, R. and Winkler, R. (2007) Aggregating probability distributions. In E. Ward, R. Miles and D. von Winterfeldt (eds.), Advances in Decision Analysis: From Foundations to Applications (pp. 154-176). Cambridge: Cambridge University Press.
16. Clyde, M. and George, E. (2000) Flexible empirical Bayes estimation for wavelets. Journal of the Royal Statistics Society Series B 62: 681-698.
17. Cohen-Cole, E., Durlauf, S., Fagan, J. and Nagin, D. (2009) Model uncertainty and the deterrent effect of capital punishment. American Law and Economics Review 11: 335-369.
18. Cremers, K. (2002) Stock return predictability: a Bayesian model selection perspective. The Review of Financial Studies 15: 1223-1249.
19. Crespo-Cuaresma, J. and Slacik, T. (2009) On the determinants of currency crises: the role of model uncertainty. Journal of Macroeconomics 31: 621-632.
20. Crespo-Cuaresma, J., Doppelhofer, G. and Feldkircher, M. (2009) The determinants of economic growth in European regions. Working Paper Series, CESifo.
21. Davis, W. (1979) Approximate Bayesian predictive distributions and model selection. Journal of the American Statistical Association 74: 312-317.
22. De Luca, G. and Magnus, J. (2011) Bayesian model averaging and weighted-average least squares: equivariance, stability, and numerical issues. Stata Journal 11: 518-544.
23. Dezhbakhsh, H. and Shepard, J. (2006) The deterrent effect of capital punishment: evidence from a judicial experiment. Economic Inquiry 44: 512-535.
24. Donohue, J. and Wolfers, J. (2006) Uses and abuses of empirical evidence in the death penalty debate. Stanford Law Review 58: 791-846.
25. Doppelhofer, G. (2008) Model Averaging. in The New Palgrave Dictionary in Economics ed. by L. Blume and S. Durlauf .
26. Doppelhofer, G. and Weeks, M. (2009) Jointness of growth determinants. Journal of Applied Econometrics 24: 209-244.
27. Draper, D. (1995) Assessment and propagation of model uncertainty. Journal of the Royal Statistical Society Series B 57: 45-97.
28. Durlauf, S., Kourtellos, A. and Tan, C. (2008) Are any growth theories robust? Economic Journal 118: 329-346.
29. Durlauf, S., Kourtellos, A. and Tan, C. (2011) Is God in the details? A reexamination of the role of religion in economic growth. Journal of Applied Econometrics 27: 1059-1075.
30. Edgerton, H. and Kolbe, L. (1936) The method of minimum variation for the combination of criteria. Psychometrika 1: 183-188.
31. Ehrlich, I. (1975) The deterrent effect of capital punishment: a question of life and death. American Economic Review 65: 397-417.
32. Eicher, T., Papageorgiou, C. and Raftery, A. (2009) Default Priors and Predictive Performance in Bayesian Model Averaging, with Application to Growth Determinants. Journal of Applied Econometrics 26: 30-55.
33. Eicher, T., Henn, C. and Papageorgiou, C. (2012a) Trade creation and diversion revisited: accounting for model uncertainty and natural trading partner effects. Journal of Applied Econometrics 27: 296-321.
34. Eicher, T., Lenkoski, A. and Raftery, A. (2012b) Bayesian model averaging and endogeneity under model uncertainty: an application to development determinants. Econometric Reviews, forthcoming.
35. Fernández, C., Ley, E. and Steel, M. (2001a) Benchmark priors for Bayesian model averaging. Journal of Econometrics 100: 381-427.
36. Fernández, C., Ley, E. and Steel, M. (2001b) Model uncertainty in cross-country growth regressions. Journal of Applied Econometrics 16: 563-576.
37. Fernández, C., Ley, E. and Steel, M. (2002) Bayesian modeling of catch in a northwest Atlantic fishery. Journal of the Royal Statistical Society Series C 51: 257-280.
38. de Finetti, B. (1972) Probability, Induction, and Statistics New York: Wiley.
39. Foster, D. and George, E. (1994) The risk inflation criterion for multiple regression. The Annals of Statistics 22: 1947-1975.
40. Furnival, G. and Wilson, R. (1974) Regression by leaps and bounds. Technometrics 16: 499-511.
41. Galbraith, J. and Hodgson, D. (2009) Dimension reduction and model averaging for estimation of artists' age-valuation profiles. Working Paper, CIRANO.
42. Garratt, A., Lee, K., Pesaran, H. and Shin, Y. (2003) Forecast uncertainties in macroeconomic modeling: an application to the U.K. economy. Journal of the American Statistical Association 98: 829-838.
43. Garratt, A., Koop, G., Mise, E. and Vahey, S. (2009) Real-time prediction with U.K. monetary aggregates in the presence of model uncertainty. Journal of Business & Economic Statistics 27: 480-491.
44. Geisel, M. (1973) Bayesian comparisons of simple macroeconomic models. Journal of Money, Credit and Banking 5: 751-772.
45. Geisser, S. (1965) A Bayes approach for combining correlated estimates. Journal of the American Statistical Association 60: 602-607.
46. Geisser, S. and Eddy, W. (1979) A predictive approach to model selection. Journal of the American Statistical Association 74: 153-160.
47. Genest, C. and McConway, K. (1990) Allocating the weights in the linear opinion pool. Journal of Forecasting 9: 53-73.
48. Genest, C. and Zidek, J. (1986) Combining probability distributions. A Critique and annotated bibliography. Statistical Science 1: 114-148.
49. George, E. (1999) Discussion of 'Bayesian Model Averaging and Model Search Strategies' by M. Clyde . In J.M. Bernardo, J.O. Berger, A.P. Dawid and A.F.M. Smith (eds.), Bayesian Statistics 6. Oxford: Oxford University Press.
50. George, E. and Foster, D. (2000) Calibration and empirical Bayes variable selection. Biometrika 87: 731-747.
51. Geweke, J. (2010) Complete and Incomplete Econometric Models. Princeton, NJ: Princeton University Press.
52. Geweke, J. and Amisano, G. (2011a) Hierarchical Markov normal mixture models with applications to financial asset returns. Journal of Applied Econometrics 26: 1-29.
53. Geweke, J. and Amisano, G. (2011b) Optimal prediction pools. Journal of Econometrics 164: 130-141.
54. Geweke, J. and Whiteman, C. (2006) Bayesian forecasting. In G. Elliot, C. Granger and A. Timmerman, A (eds.), Handbook of Economic Forecasting, Vol. 1, (pp. 3-80). Elsevier: Amsterdam.
55. Gneiting, T. (2008) Editorial: probabilistic forecasting. Journal of the Royal Statistical Society Series A 171: 319-321.
56. Gneiting, T., Balabdaoui, F. and Raftery, A. (2007) Probabilistic forecasts, calibration and sharpness. Journal of the Royal Statistical Society Series B 69: 243-268.
57. Granger, C. and Ramanathan, R. (1984) Improved methods of combining forecasts. Journal of Forecasting 3: 197-204.
58. Granger, C., White, H. and Kamstra, M. (1989) Interval forecasting: an analysis based upon ARCH-quantile estimators. Journal of Econometrics 40: 87-96.
59. Hall, S. and Mitchell, J. (2007) Combining density forecasts. International Journal of Forecasting 23: 1-13.
60. Halperin, M. (1961) Almost linearly-optimum combination of unbiased estimates. Journal of the American Statistical Association 56: 36-43.
61. Hansen, B. (2007) Least squares model averaging. Econometrica 75: 1175-1189.
62. Hansen, B. (2008) Least squares forecast averaging. Journal of Econometrics 146: 342-350.
63. Hansen, B. and Racine, J. (2012) Jackknife model averaging. Journal of Econometrics 167: 38-46.
64. Hansen, M. and Yu, B. (2001) Model selection and the principle of minimum description length. Journal of the American Statistical Association 96: 746-774.
65. Hjort, N. and Claeskens, G. (2003) Frequentist model average estimators. Journal of the American Statistical Association 98: 879-899.
66. Hoeting, J., Madigan, D., Raftery, A. and Volinsky, C. (1999) Bayesian model averaging: a tutorial. Statistical Science 14: 382-417.
67. Horst, P. (1938) Obtaining a composite measure from a number of different measures of the same attribute. Psychometrika 1: 53-60.
68. Jore, A., Mitchell, J. and Vahey, S. (2010) Combining forecast densities from VARs with uncertain instabilities. Journal of Applied Econometrics 25: 621-634.
69. Kamstra, M. and Kennedy, P. (1998) Combining qualitative forecasts using logit. International Journal of Forecasting 14: 83-93.
70. Kass, R. and Wasserman, L. (1995) A reference Bayesian test for nested hypothesis with large samples. Journal of the American Statistical Association 90: 928-934.
71. Katz, L., Levitt, S. and Shustorovich, E. (2003) Prison conditions, capital punishment, and deterrence. American Law and Economics Review 5: 318-343.
72. Kleibergen, F. and Zivot, E. (2003) Bayesian and classical approaches to instrumental variable regression. Journal of Econometrics 114: 29-72.
73. Koop, G. (2003) Bayesian Econometrics. Chichester, England: Wiley-Interscience.
74. Koop, G. and Potter, S. (2004) Forecasting in dynamic factor models using Bayesian model averaging. The Econometrics Journal 7: 550-565.
75. Koop, G., Ley, E., Osiewalski, J. and Steel, M. (1997) Bayesian analysis of long memory and persistency using ARFIMA models. Journal of Econometrics 76: 149-169.
76. Koske, I. and Wanner, I. (2013) The drivers of labour income inequality: an analysis based on Bayesian model averaging. Applied Economics Letters 20: 123-126.
77. Kuersteiner, G. and Okui, R. (2010) Constructing optimal instruments by first-stage prediction averaging. Econometrica 78: 697-718.
78. Laplace, P.S. (1818) Deuxime Supplément a la Théorie Analytique des Probabilités. Paris: Courcier.
79. Leamer, E. (1978) Specification Searches. New York: John Wiley & Sons.
80. Leamer, E. (1983) Let's take the con out of econometrics. American Economic Review 73: 31-43.
81. Lempers, F. (1971) Posterior Probabilities of Alternative Linear Models. Rotterdam: University Press.
82. Ley, E. and Steel, M. (2007) Jointness in Bayesian variable selection with applications to growth regressions. Journal of Macroeconomics 29: 476-493.
83. Ley, E. and Steel, M. (2009) On the effect of prior assumptions in Bayesian model averaging with applications to growth regression. Journal of Applied Econometrics 24: 651-674.
84. Liang, F., Paulo, R., Molina, G., Clyde, M. and Berger, J. (2008) Mixtures of g priors for Bayesian variable selection. Journal of the American Statistical Association 103: 410-423.
85. Madigan, D. and Raftery, A. (1994) Model selection and accounting for model uncertainty in graphical models using Occam's window. Journal of the American Statistical Association 89: 1535-1546.
86. Madigan, D. and York, J. (1995) Bayesian graphical models for discrete data. International Statistical Review 63: 215-232.
87. Magnus, J., Powell, O. and Prüfer, P. (2010) A comparison of two model averaging techniques with an application to growth empirics. Journal of Econometrics 154: 139-153.
88. Masanjala, W. and Papageorgiou, C. (2008) Rough and lonely road to prosperity: a reexamination of the sources of growth in Africa using Bayesian model averaging. Journal of Applied Econometrics 23: 671-682.
89. Min, C. and Zellner, A. (1993) Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates. Journal of Econometrics 56: 89-118.
90. Mitchell, J., Pain, N. and Riley, R. (2011) The drivers of international migration to the UK: a panel-based Bayesian model averaging approach. Economic Journal 121: 1398-1444.
91. Moral-Benito, E. (2012a) Determinants of economic growth: a Bayesian panel data approach. The Review of Economics and Statistics 94: 566-579.
92. Moral-Benito, E. (2012b) Growth empirics in panel data under model uncertainty and weak exogeneity. Working Paper 1243, Banco de España.
93. Moral-Benito, E. (2013) Likelihood-based estimation of dynamic panels with predetermined regressors. Journal of Business & Economic Statistics, forthcoming.
94. Morales, K., Ibrahim, J., Chen, C. and Ryan, L. (2006) Bayesian model averaging with applications to benchmark dose estimation for arsenic in drinking water. Journal of the American Statistical Association 101: 9-17.
95. Morris, P. (1974) Decision analysis expert use. Management Science 20: 1233-1241.
96. Morris, P. (1977) Combining expert judgments: a Bayesian approach. Management Science 23: 679-693.
97. Moulton, B. (1991) A Bayesian approach to model selection and estimation with application to price indexes. Journal of Econometrics 49: 169-193.
98. O'Hagan, A. (1995) Fractional Bayes factors for model comparison. Journal of the Royal Statistics Society Series B 57: 99-138.
99. Onatski, A. and Stock, J. (2002) Robust monetary policy under model uncertainty in a small model of the US economy. Macroeconomic Dynamics 6: 85-110.
100. Onatski, A. and Williams, N. (2003) Modeling model uncertainty. Journal of European Economic Association 1: 1087-1122.
101. Pesaran, H. and Timmermann, A. (2005) Small sample properties of forecasts from autoregressive models under structural breaks. Journal of Econometrics 129: 183-217.
102. Pesaran, H. and Timmermann, A. (2007) Selection of estimation window in the presence of breaks. Journal of Econometrics 137: 134-161.
103. Pesaran, H., Schleicher, C. and Zaffaroni, P. (2009) Model averaging in risk management with an application to futures markets. Journal of Empirical Finance 16: 280-305.
104. Primo, C., Ferro, C., Jolliffe, I. and Stephenson, D. (2009) Combination and calibration methods for probabilistic forecasts of binary events. Monthly Weather Review 137: 1142-1149.
105. Raftery, A. (1995) Bayesian model selection in social research. Sociological Methodology 25: 111-163.
106. Raftery, A., Gneiting, T., Balabdaoui, F. and Polakowski, M. (2005) Using Bayesian model averaging to calibrate forecast ensembles. Monthly Weather Review 133: 1155-1174.
107. Ranjan, R. and Gneiting, T. (2010) Combining probability forecasts. Journal of the Royal Statistical Society Series B 72: 71-91.
108. Roberts, H. (1965) Probabilistic prediction. Journal of the American Statistical Association 60: 50-62.
109. Sala-i-Martin, X., Doppelhofer, G. and Miller, R. (2004) Determinants of long-term growth: a Bayesian Averaging of Classical Estimates (BACE) approach. American Economic Review 94: 813-835.
110. Smith, J. and Wallis, K. (2009) A simple explanation of the forecast combination puzzle. Oxford Bulletin of Economics and Statistics 71: 331-355.
111. Smith, M. and Kohn, R. (1996) Nonparametric regression using Bayesian Variable selection. Journal of Econometrics 75: 317-343.
112. Spiegelhalter, D. and Smith, A. (1982) Bayes factors for linear and log-linear models with vague prior information. Journal of the Royal Statistics Society Series B 44: 377-387.
113. Stigler, S. (1973) Laplace, Fisher, and the discovery of the concept of sufficiency. Biometrika 60: 439-445.
114. Stone, M. (1961) The linear pool. Annals of Mathematical Statistics 32: 1339-1342.
115. Timmermann, A. (2006) Forecast combinations. In G. Elliott, C. Granger and A. Timmermann (eds.), Handbook of Economic Forecasting (pp. 135-196). Amsterdam: North-Holland.
116. Tobias, J. and Li, M. (2004) Returns to schooling and Bayesian model averaging: a union of two literatures. Journal of Economic Surveys 18: 153-180.
117. Volinsky, C., Madigan, D., Raftery, A. and Kronmal, R. (1997) Bayesian model averaging in proportional hazard models: predicting the risk of a stroke. Applied Statistics 46: 443-448.
118. Wagner, M. and Hlouskova, J. (2009) Growth regressions, principal components and frequentist model averaging. Working Paper, Institute for Advanced Studies, Vienna.
119. Wan, A. and Zhang, X. (2009) On the use of model averaging in tourism research. Annals of Tourism Research 36: 525-532.
120. Wright, J. (2008a) Bayesian model averaging and exchange rate forecasts. Journal of Econometrics 146: 329-341.
121. Wright, J. (2008b) Forecasting US inflation by Bayesian Model Averaging. Journal of Forecasting 28: 131-144.
122. Zellner, A. (1986) On Assessing prior distributions and Bayesian regression analysis with g-prior distributions. In P. Goel and A. Zellner (eds.), Bayesian Inference and Decision Techniques: Essays in Honor of Bruno de Finetti (389-399). Amsterdam: North-Holland/Elsevier.