Bayesian Model Averaging and Jointness Measures for gretl
Journal: Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)
Year: 2013

This paper presents a software package that implements Bayesian model averaging for Gnu Regression, Econometrics and Time-series Library- gretl. The Bayesian Model Averaging (BMA) is a model-building strategy that takes account of model uncertainty into conclusions about estimated parameters. It is an efficient tool for discovering the most probable models and obtaining estimates of their posterior characteristics. In recent years we have observed an increasing number of software package devoted