Bayesian Model Averaging and Weighted-Average Least Squares: Equivariance, Stability, and Numerical Issues

Luca, Giuseppe De; Magnus, Jan R.

doi:10.1177/1536867x1101100402

Cited by 33 publications

(35 citation statements)

References 14 publications

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“…()). He also makes available two STATA commands (bma and wals) that implement BMA with benchmark priors and WALS (see De Luca and Magnus () for a description of these commands). Finally, Bruce Hansen provides in his webpage several codes (in R, Matlab, Gauss and STATA) implementing both MMA and JMA (see http://www.ssc.wisc.edu/∼bhansen/progs/progs_ma.html).…”

Section: A Brief Overview Of the Literature On Model Averaging With Amentioning

confidence: 99%

Model Averaging in Economics: An Overview

Moral‐Benito

2013

Journal of Economic Surveys

187

105

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Standard practice in empirical research is based on two steps: first, researchers select a model from the space of all possible models; second, they proceed as if the selected model had generated the data. Therefore, uncertainty in the model selection step is typically ignored. Alternatively, model averaging accounts for this model uncertainty. In this paper, I review the literature on model averaging with special emphasis on its applications to economics. Finally, as an empirical illustration, I consider model averaging to examine the deterrent effect of capital punishment across states in the USA.

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Section: A Brief Overview Of the Literature On Model Averaging With Amentioning

confidence: 99%

Model Averaging in Economics: An Overview

Moral‐Benito

2013

Journal of Economic Surveys

187

105

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“…In essence, the estimate of a parameter is a weighted average of its estimates from all the 2 p possible model specifications, with the weight of each estimate determined by the performance of the model from which it is obtained. See, for example, Hoeting, et al (1999), Luca and Magnus (2011), Hoeting (2002), and Montgomery and Nyhan (2010) for a detailed discussion of the methodology. 25 For each sample period, we labelled the variables that are significant in Table 2 as the "focus regressors," and other insignificant candidate variables as the "auxiliary regressors.…”

Section: Bayesian Model Averaging (Bma)mentioning

confidence: 99%

International Reserves Before and After the Global Crisis: Is There No End to Hoarding?

Aizenman

Cheung

Ito

2014

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. We evaluate the impact of the global financial crisis (GFC) and recent structural changes in the patterns of hoarding international reserves (IR). We confirm that the determinants of IR hoarding evolve with developments in the global economy. During the pre-GFC period of 1999-2006, gross saving is associated with higher IR in developing and emerging markets. The negative impact of outward direct investment on IR accumulation is consistent with the recent trend of diverting international assets from the international reserve account into tangible foreign assets; the "Joneses' effect" lends support to the regional rivalry in hoarding IR as a motivation; and commodity price volatility induces precautionary buffer hoarding. During the 2007-2009 GFC period, previously significant variables become insignificant or display the opposite effect, probably reflecting the frantic market conditions driven by financial instability. Nevertheless, the propensity to import and gross saving continue to display strong and even larger positive effects on IR holding. The results from the 2010-2012 post-GFC period are dominated by factors that had been mostly overlooked in earlier decades. While the negative effect of swap agreements and the positive effect of gross saving on IR holdings are in line with our expectations, we find a change in the link between outward direct investment and IR in the pre-and post-crisis period. The macro-prudential policy tends to complement IR accumulation. Developed countries display different demand behaviors for IRs. Our predictive exercise affirms that an emerging market economy with insufficient IR holdings in 2012 tends to experience exchange rate depreciation against the U.S. dollar when many emerging markets were adjusted to the news of tapering quantitative easing in 2013. Terms of use: Documents inJEL-Code: F300, F310, F320, F360.

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“…In practical terms, Bayesian Model Averaging is implemented with the STATA BMA function documented in DeLuca and Magnus (2011).…”

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confidence: 99%

The Spillovers, Interactions, and (Un)Intended Consequences of Monetary and Regulatory Policies

2016

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Have bank regulatory policies and unconventional monetary policies -and any possible interactions -been a factor behind the recent 'deglobalisation' in cross-border bank lending? To test this hypothesis, we use bank-level data from the United Kingdom -a country at the heart of the global financial system. Our results suggest that increases in microprudential capital requirements tend to reduce international bank lending and some forms of unconventional monetary policy can amplify this effect. Specifically, the United Kingdom's Funding for Lending Scheme (FLS) significantly amplified the effects of increased capital requirements on external lending. Quantitative easing may also have had an amplification effect, but these estimates are usually insignificant and smaller in magnitude. We find that this interaction between microprudential regulations and the FLS can explain roughly 30% of the contraction in aggregate UK cross-border bank lending between mid-2012 and end-2013, corresponding to around 10% of the contraction globally. This suggests that unconventional monetary policy designed to support domestic lending can have the unintended consequence of reducing foreign lending.

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Bayesian Model Averaging and Weighted-Average Least Squares: Equivariance, Stability, and Numerical Issues

Cited by 33 publications

References 14 publications

Model Averaging in Economics: An Overview

Model Averaging in Economics: An Overview

International Reserves Before and After the Global Crisis: Is There No End to Hoarding?

The Spillovers, Interactions, and (Un)Intended Consequences of Monetary and Regulatory Policies

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