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Autoren: 
Feldkircher, Martin
Zeugner, Stefan
Datum: 
2010
Schriftenreihe/Nr.: 
Working Papers in Economics and Finance No. 2010-12
Zusammenfassung: 
Ciccone and Jarocínski (2010) show that inference in Bayesian model averaging (BMA) can be highly sensitive to small changes in the dependent variable. In particular they demonstrate that the importance of growth determinants in explaining growth varies tremendously over different revisions of Penn World Table (PWT) income data. They conclude that 'agnostic' priors appear too sensible for this strand of growth empirics. In response, we show that the instability found owes much to a specific BMA set-up: the variation in results can be considerably reduced by applying an evenly 'agnostic', but exible prior.
Schlagwörter: 
Bayesian model averaging
Growth determinants
Zellner's g prior
Model uncertainty
JEL: 
C11
C15
E01
O47
Dokumentart: 
Working Paper

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