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Model uncertainty in cross-country growth regressions
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Fernandez, C., Ley, E. and Steel, Mark F. J. (2001) Model uncertainty in cross-country growth regressions. Journal of Applied Econometrics, Volume 16 (Number 5). pp. 563-576. doi:10.1002/jae.623 ISSN 0883-7252.
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Official URL: http://dx.doi.org/10.1002/jae.623
Abstract
We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA). We find that the posterior probability is spread widely among many models, suggesting the superiority of BMA over choosing any single model. Out-of-sample predictive results support this claim. In contrast to Levine and Renelt (1992), our results broadly support the more ‘optimistic’ conclusion of Sala-i-Martin (1997b), namely that some variables are important regressors for explaining cross-country growth patterns. However, care should be taken in the methodology employed. The approach proposed here is firmly grounded in statistical theory and immediately leads to posterior and predictive inference.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Journal of Applied Econometrics | ||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||
ISSN: | 0883-7252 | ||||
Official Date: | September 2001 | ||||
Dates: |
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Volume: | Volume 16 | ||||
Number: | Number 5 | ||||
Page Range: | pp. 563-576 | ||||
DOI: | 10.1002/jae.623 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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