Cover IMF Working Papers
A Bayesian Approach to Model Uncertainty
Author:
Mr. Charalambos G Tsangarides
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Series:
IMF Working Papers
Volume/Issue:
Volume 2004: Issue 068
Language:
English
Publication Date:
01 Apr 2004
DOI:
https://doi.org/10.5089/9781451849028.001
ISBN:
9781451849028
ISSN:
1018-5941
Pages:
21
Keywords:
WP; least squares
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This paper develops the theoretical background for the Limited Information Bayesian Model Averaging (LIBMA). The proposed approach accounts for model uncertainty by averaging over all possible combinations of predictors when making inferences about the variables of interest, and it simultaneously addresses the biases associated with endogenous and omitted variables by incorporating a panel data systems Generalized Method of Moments estimator. Practical applications of the developed methodology are discussed, including testing for the robustness of explanatory variables in the analyses of the determinants of economic growth and poverty.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2004: Issue 068