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This paper proposes the use of Bayesian model averaging (BMA) as a tool to select the predictors' set for bridge models. BMA is a computationally feasible method that allows us to explore the model space even in the presence of a large set of candidate predictors. We test the performance of BMA...
Persistent link: https://www.econbiz.de/10013065340
model as in Stock and Watson (2002), with a Bridge model specified with an automated General-To-Specific routine. We apply …
Persistent link: https://www.econbiz.de/10013066551