Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011
This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...
