Bayesian model averaging is used for testing for multiple break points in uni- variate series using conjugate normal-gamma priors. This approach can test for the number of structural breaks and produce posterior probabilities for a break at each point in time. Results are averaged over...

In this paper a procedure is developed to derive the predictive density function of a future observation for prediction in a multiple regression model under hierarchical priors for the vector parameter. The derived predictive density function is applied for prediction in a multiple regression...

A central question for empirical economics, particularly economic growth, is which explanatory variables to include and exclude in the regressions. This paper aims to identify variables strongly correlated with provincial income growth in the Philippines by applying robustness procedures in...

The volatility of 19 agricultural commodity prices are examined at monthly and annual frequencies. All of the price series are found to exhibit persistent volatility (periods of relatively high and low volatility). There is also strong evidence of transmission of volatilities across prices....

Este documento presenta un análisis del crecimiento en Colombia a partir de un modelo deselección de variables basado en el método bayesiano y modelos de series de tiempo de rezagosdistribuidos (ARDL). El aporte del ejercicio consiste principalmente en el análisis de diversosfactores que la...

This short note presents the R package AdMit which provides flexible functions to approximate a certain target distribution and to efficiently generate a sample of random draws from it, given only a kernel of the target density function. The estimation procedure is fully automatic and thus...

We develop and analyze a tractable empirical model for strategic network formation that can be estimated with data from a single network at a single point in time. We model the network formation as a sequential process where in each period a single randomly selected pair of agents has the...

Missing data is a very frequent obstacle in many social science studies. The absence of values on one or more variables can signi?cantly affect statistical analyses by reducing their precision and by introducing selection biases. Being unable to account for these aspects may result in severe...

This paper analyzes house price data belonging to three hierarchical levels of spatial units. House selling prices with associated individual attributes (the elementary level-1) are grouped within municipalities (level-2), which form districts (level-3), which are themselves nested in counties...

This paper asks whether external shocks (U.S. interest rates, U.S. industrial production, U.S. stocks prices and world industrial material price) have asymmetric effects on European relative prices (real exchange rates). On 1979-1993 period, the paper finds that two groups of countries may be...