A review of the ‘BMS’ package for R with focus on jointness

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Article number6
JournalEconometrics
Volume8
Issue number1
DOIs
StatePublished - Mar 2020

Keywords

  • BMS
  • Bayesian model averaging
  • Zellner’s g-prior

ASJC Scopus subject areas

  • Economics and Econometrics

Fingerprint Dive into the research topics of 'A review of the ‘BMS’ package for R with focus on jointness'. Together they form a unique fingerprint.

  • Cite this