We Just Averaged over Two Trillion Cross-Country Growth Regressions
We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian model averaging (BMA). We find that the posterior probability is distributed among many models, suggesting the superiority of BMA over any single model. Out-of-sample predictive results support that clai...
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| Format: | eBook |
| Language: | English |
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Washington, D.C.
International Monetary Fund
1999
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| Series: | IMF Working Papers
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| Collection: | International Monetary Fund - Collection details see MPG.ReNa |
| Summary: | We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian model averaging (BMA). We find that the posterior probability is distributed among many models, suggesting the superiority of BMA over any single model. Out-of-sample predictive results support that claim. In contrast with 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, the variables we identify as most useful for growth regression differ substantially from Sala-i-Martin's results |
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| Physical Description: | 20 pages |
| ISBN: | 9781451852493 |