A note on fiducial model averaging as an alternative to checking Bayesian and frequentist models
In: Communications in statistics. Theory and methods, Band 47, Heft 13, S. 3125-3137
ISSN: 1532-415X
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In: Communications in statistics. Theory and methods, Band 47, Heft 13, S. 3125-3137
ISSN: 1532-415X
In: The Future of Fisheries Science in North America, S. 505-524
In: International Letters of Social and Humanistic Sciences, Heft 43, S. 10-17
Due to the important influence of inflation on macro-economic variables, researchers pay tremendous amount of attention to its determinants. Accordingly, in the following research, the impact of 13 variables on inflation during the period of 1338-1391 by using Bayesian Model Averaging (BMA) method has been investigated for Iran economy. The ranking of the 13 explanatory variables are obtained based on the probability of their inclusion in model. The results show that the energy price and money imbalance (lagged ratio of money to nominal output) have expected and positive effect on inflation rate with a probability of 100 % and they are considered as the key explanatory variables in inflation equation. The energy price, money imbalance, money growth and market exchange rate growth have the first to fourth rank respectively. The influence of the production growth is not significant on the inflation in the short-run but it gradually influences the inflation through money imbalance channel in the long-run. In addition, most of the disinflation effects due to decrease in money supply will appear with delay. These results imply the dominance of monetary variables on inflation with cost push factors not having important impacts on prices. Also, oil revenue and imports influence the inflation through exchange rate channel, production and money velocity.
In: Emerging markets, finance and trade: EMFT, Band 50, Heft sup2, S. 89-99
ISSN: 1558-0938
In: APSA 2011 Annual Meeting Paper
SSRN
Working paper
The accident risk of severe (&ge ; 5 fatalities) accidents in fossil energy chains (Coal, Oil and Natural Gas) is analyzed. The full chain risk is assessed for Organization for Economic Co-operation and Development (OECD), 28 Member States of the European Union (EU28) and non-OECD countries. Furthermore, for Coal, Chinese data are analysed separately for three different periods, i.e., 1994&ndash ; 1999, 2000&ndash ; 2008 and 2009&ndash ; 2016, due to different data sources, and highly incomplete data prior to 1994. A Bayesian Model Averaging (BMA) is applied to investigate the risk and associated uncertainties of a comprehensive accident data set from the Paul Scherrer Institute&rsquo ; s ENergy-related Severe Accident Database (ENSAD). By means of BMA, frequency and severity distributions were established, and a final posterior distribution including model uncertainty is constructed by a weighted combination of the different models. The proposed approach, by dealing with lack of data and lack of knowledge, allows for a general reduction of the uncertainty in the calculated risk indicators, which is beneficial for informed decision-making strategies under uncertainty.
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In: Communications in statistics. Theory and methods, Band 53, Heft 20, S. 7417-7435
ISSN: 1532-415X
In: Bank of Finland Research Discussion Paper No. 17/2015
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Working paper
In: Working paper version of "Is inequality deadly and for whom? A Bayesian Model Averaging Analysis" in The Social Science Journal (available online March, 2016)
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Working paper
In: Evaluation review: a journal of applied social research, Band 42, Heft 4, S. 423-457
ISSN: 1552-3926
This article provides a review of Bayesian model averaging as a means of optimizing the predictive performance of common statistical models applied to large-scale educational assessments. The Bayesian framework recognizes that in addition to parameter uncertainty, there is uncertainty in the choice of models themselves. A Bayesian approach to addressing the problem of model uncertainty is the method of Bayesian model averaging. Bayesian model averaging searches the space of possible models for a set of submodels that satisfy certain scientific principles and then averages the coefficients across these submodels weighted by each model's posterior model probability (PMP). Using the weighted coefficients for prediction has been shown to yield optimal predictive performance according to certain scoring rules. We demonstrate the utility of Bayesian model averaging for prediction in education research with three examples: Bayesian regression analysis, Bayesian logistic regression, and a recently developed approach for Bayesian structural equation modeling. In each case, the model-averaged estimates are shown to yield better prediction of the outcome of interest than any submodel based on predictive coverage and the log-score rule. Implications for the design of large-scale assessments when the goal is optimal prediction in a policy context are discussed.
In: Oxford Bulletin of Economics and Statistics, Band 81, Heft 5, S. 960-988
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In: Defence & peace economics, Band 31, Heft 3, S. 269-288
ISSN: 1476-8267
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In: International Letters of Social and Humanistic Sciences, Heft 49, S. 1-11
This paper identifies the key determinants of economic growth in Iran, using annual time series data from 1974 to 2010. There is a very large literature on determinants of economic growth and several studies have included a large number of explanatory variables. Empirical models of economic growth are therefore plagued by problems of model uncertainty concerning the choice of explanatory variables and model specification. We utilize Bayesian Model Averaging (BMA) to resolve these model uncertainties. The results of this study indicate that the ratio of oil revenue to GDP is the most important variable affecting economic growth in the Iranian economy. Also the second and third effective variables on growth are respectively the ratio of imported capital and intermediate goods to GDP and labor force which lead to an increase in growth. Endogenous growth factors which are the factors contributing to the formation of human capital, not possess a large role in growth process. Therefore, the nature of Iran's economy has not endogenous and dynamic features and predominantly, economic growth has been made by injecting of exogenous sources (oil revenue, imported capital and intermediate goods, and labor force).