We Just Averaged Over Two Trillion Cross-Country Growth Regressions

20 Pages Posted: 15 Feb 2006

See all articles by Eduardo Ley

Eduardo Ley

World Bank

Mark F.J. Steel

University of Edinburgh - Economics

Date Written: July 1999

Abstract

We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian model averaging (BMA). We find that the posterior probability is distributed among many models, suggesting the superiority of BMA over any single model. Out-of-sample predictive results support that claim. In contrast with Levine and Renelt (1992), our results broadly support the more "optimistic" conclusion of Sala-i-Martin (1997b), namely, that some variables are important regressors for explaining cross-country growth patterns. However, the variables we identify as most useful for growth regression differ substantially from Sala-i-Martin`s results.

Keywords: Bayesian model averaging choice of regressors economic growth Markov chain Monte Carlo prediction

JEL Classification: O49 C11 C52

Suggested Citation

Ley, Eduardo and Steel, Mark F.J., We Just Averaged Over Two Trillion Cross-Country Growth Regressions (July 1999). IMF Working Paper, Vol. , pp. 1-20, 1999. Available at SSRN: https://ssrn.com/abstract=880628

Eduardo Ley (Contact Author)

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

HOME PAGE: http://eWorldNet.org

Mark F.J. Steel

University of Edinburgh - Economics ( email )

50 George Square
Edinburgh, EH8 9JY
Scotland
+44-131-650 8352 (Phone)
+44-131-650 4514 (Fax)

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