A Review of the `BMS’ Package for R with Focus on Jointness
We provide a general overview of Bayesian model averaging (BMA) along with the concept of jointness. We then describe the relative merits and attractiveness of the newest BMA software package, BMS, available in the statistical language R to implement a BMA exercise. BMS provides the user a wide rang...
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doaj-7d52b9ed0e4048ea9bc607e624ab66292020-11-25T02:15:07ZengMDPI AGEconometrics2225-11462020-02-0181610.3390/econometrics8010006econometrics8010006A Review of the `BMS’ Package for R with Focus on JointnessShahram Amini0Christopher F. Parmeter1University of Denver, Denver, CO 80208, USAUniversity of Miami, Coral Gables, FL 33146, USAWe provide a general overview of Bayesian model averaging (BMA) along with the concept of jointness. We then describe the relative merits and attractiveness of the newest BMA software package, BMS, available in the statistical language R to implement a BMA exercise. BMS provides the user a wide range of customizable priors for conducting a BMA exercise, provides ample graphs to visualize results, and offers several alternative model search mechanisms. We also provide an application of the BMS package to equity premia and describe a simple function that can easily ascertain jointness measures of covariates and integrates with the BMS package.https://www.mdpi.com/2225-1146/8/1/6bayesian model averagingzellner’s <i>g</i>-priorbms |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Shahram Amini Christopher F. Parmeter |
spellingShingle |
Shahram Amini Christopher F. Parmeter A Review of the `BMS’ Package for R with Focus on Jointness Econometrics bayesian model averaging zellner’s <i>g</i>-prior bms |
author_facet |
Shahram Amini Christopher F. Parmeter |
author_sort |
Shahram Amini |
title |
A Review of the `BMS’ Package for R with Focus on Jointness |
title_short |
A Review of the `BMS’ Package for R with Focus on Jointness |
title_full |
A Review of the `BMS’ Package for R with Focus on Jointness |
title_fullStr |
A Review of the `BMS’ Package for R with Focus on Jointness |
title_full_unstemmed |
A Review of the `BMS’ Package for R with Focus on Jointness |
title_sort |
review of the `bms’ package for r with focus on jointness |
publisher |
MDPI AG |
series |
Econometrics |
issn |
2225-1146 |
publishDate |
2020-02-01 |
description |
We provide a general overview of Bayesian model averaging (BMA) along with the concept of jointness. We then describe the relative merits and attractiveness of the newest BMA software package, BMS, available in the statistical language R to implement a BMA exercise. BMS provides the user a wide range of customizable priors for conducting a BMA exercise, provides ample graphs to visualize results, and offers several alternative model search mechanisms. We also provide an application of the BMS package to equity premia and describe a simple function that can easily ascertain jointness measures of covariates and integrates with the BMS package. |
topic |
bayesian model averaging zellner’s <i>g</i>-prior bms |
url |
https://www.mdpi.com/2225-1146/8/1/6 |
work_keys_str_mv |
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