Quotation Hofmarcher, Paul, Crespo Cuaresma, Jesus, Humer, Stefan, Grün, Bettina, Moser, Mathias. 2018. Bivariate jointness measures in Bayesian Model Averaging: Solving the conundrum. Journal of Macroeconomics. 57 150-165.


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Abstract

We introduce a new measure of bivariate jointness to assess the degree of inclusion dependency between pairs of explanatory variables in Bayesian Model Averaging analysis. Building on the discussion concerning appropriate statistics to assess covariate inclusion dependency in this context, a set of desirable properties for bivariate jointness measures is proposed. We show that none of the proposed measures so far meets all these criteria and an alternative measure is presented which fulfils all of them. Our measure corresponds to a regularised version of the Yule’s Q association coefficient, obtained by combining the original measure with a Jeffreys prior to avoid problems in the case of zero counts. We provide an empirical illustration using cross-country data on economic growth and its determinants.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Macroeconomics
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new VW-D
Language English
Title Bivariate jointness measures in Bayesian Model Averaging: Solving the conundrum
Volume 57
Year 2018
Page from 150
Page to 165
Reviewed? Y
URL https://www.sciencedirect.com/science/article/pii/S0164070418300314
DOI https://doi.org/10.1016/j.jmacro.2018.05.005
Open Access N

Associations

People
Hofmarcher, Paul (Details)
Crespo Cuaresma, Jesus (Details)
Humer, Stefan (Details)
Grün, Bettina (Details)
Moser, Mathias (Details)
Organization
Institute for Macroeconomics IN (Details)
Research Institute for Human Capital and Development FI (Former organization)
Competence Center for Sustainability Transformation and Responsibility WE (Details)
Research Institute for Cryptoeconomics FI (Details)
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