Malsiner-Walli, Gertraud, Hofmarcher, Paul, Grün, Bettina. 2019. Semi-parametric regression under model uncertainty: Economic applications. Oxford Bulletin of Economics and Statistics. 81 (5), 1117-1143.
BibTeX
Abstract
Economic theory does not always specify the functional relationship between dependent and explanatory variables, or even isolate a particular set of covariates. This means that model uncertainty is pervasive in empirical economics. In this paper, we indicate how Bayesian semi‐parametric regression methods in combination with stochastic search variable selection can be used to address two model uncertainties simultaneously: (i) the uncertainty with respect to the variables which should be included in the model and (ii) the uncertainty with respect to the functional form of their effects. The presented approach enables the simultaneous identification of robust linear and nonlinear effects. The additional insights gained are illustrated on applications in empirical economics, namely willingness to pay for housing, and cross‐country growth regression.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Oxford Bulletin of Economics and Statistics |
Citation Index | SSCI |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, VW-C, WH-B |
Language | English |
Title | Semi-parametric regression under model uncertainty: Economic applications. |
Volume | 81 |
Number | 5 |
Year | 2019 |
Page from | 1117 |
Page to | 1143 |
Reviewed? | Y |
DOI | http://dx.doi.org/10.1111/obes.12294 |
Open Access | Y |
Open Access Link | https://doi.org/10.1111/obes.12294 |
Associations
- Projects
- Shrinking and Regularizing Finite Mixture Models
- People
- Malsiner-Walli, Gertraud (Details)
- Grün, Bettina (Details)
- External
- Hofmarcher, Paul (Paris Lodron University of Salzburg, Austria)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 1105 Computer software (Details)
- 1113 Mathematical statistics (Details)
- 5701 Applied statistics (Details)