scholarly journals BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl

Econometrics ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 21
Author(s):  
Marcin Błażejowski ◽  
Jacek Kwiatkowski ◽  
Paweł Kufel

In this paper, we apply Bayesian averaging of classical estimates (BACE) and Bayesian model averaging (BMA) as an automatic modeling procedures for two well-known macroeconometric models: UK demand for narrow money and long-term inflation. Empirical results verify the correctness of BACE and BMA selection and exhibit similar or better forecasting performance compared with a non-pooling approach. As a benchmark, we use Autometrics—an algorithm for automatic model selection. Our study is implemented in the easy-to-use gretl packages, which support parallel processing, automates numerical calculations, and allows for efficient computations.

Author(s):  
Behrooz Hassani-Mahmooei ◽  
Janneke Berecki-Gisolf ◽  
Alex Collie

ABSTRACTObjectiveThe majority of standard coding systems applied to health data are hierarchical: they start with several major categories and then each category is broken into subcategories across multiple levels. Running statistical models on these datasets, may lead to serious methodological challenges such as multicollinearity between levels or selecting suboptimal models as model space grows exponentially by adding each new level. The aim of this presentation is to introduce an analytical framework that addresses this challenge. ApproachData was from individuals who claimed Transport Accident Commission (TAC) compensation for motor vehicle accidents that occurred between 2010 and 2012 in the state of Victoria, Australia and provided consent for Pharmaceutical Benefits Scheme (PBS) and Medicare Benefits Schedule (MBS) linkage (n=738). PBS and MBS records dating from 12 months prior to injury were provided by the Department of Human Services (Canberra, Australia). Pre-injury use of health service items and pharmaceuticals were considered to indicate pre-existing health conditions. Both MBS and PBS listings have a hierarchical structure. The outcome was the cost of recovery; this was also hierarchical across four level (e.g. total, medical, consultations, and specialist). A Bayesian Model Averaging model was embedded into a data mining framework which automatically created all the cost outcomes and selected the best model after penalizing for multicollinearity. The model was run across multiple prior settings to ensure robustness. Monash University’s High Performance Computing Cluster was used for running approximately 5000 final models.ResultsThe framework successfully identified variables at different levels of hierarchy as indicators of pre-existing conditions that affect cost of recovery. For example, according to the results, on average, patients who received prescription pain or mental health related medication before the injury had 31.2% higher short-term and 36.9% higher long-term total recovery cost. For every anaesthetic in the year before the accident, post-injury hospital cost increased by 24%, for patients with anxiety it increased by 35.4%. For post-injury medical costs, every prescription of drugs used in diabetes (Category A10 in ATC) increased the cost by 8%, long term medical costs were affected by both pain and mental health. ConclusionBayesian model averaging provides a robust framework for mining hierarchically linked health data helping researchers to identify potential associations which may not have been discovered using conventional technique and also preventing them from identifying associations that are sporadic but not robust.


2021 ◽  
Author(s):  
Carlos R Oliveira ◽  
Eugene D Shapiro ◽  
Daniel M Weinberger

Vaccine effectiveness (VE) studies are often conducted after the introduction of new vaccines to ensure they provide protection in real-world settings. Although susceptible to confounding, the test-negative case-control study design is the most efficient method to assess VE post-licensure. Control of confounding is often needed during the analyses, which is most efficiently done through multivariable modeling. When a large number of potential confounders are being considered, it can be challenging to know which variables need to be included in the final model. This paper highlights the importance of considering model uncertainty by re-analyzing a Lyme VE study using several confounder selection methods. We propose an intuitive Bayesian Model Averaging (BMA) framework for this task and compare the performance of BMA to that of traditional single-best-model-selection methods. We demonstrate how BMA can be advantageous in situations when there is uncertainty about model selection by systematically considering alternative models and increasing transparency.


2016 ◽  
Author(s):  
Joram Soch ◽  
Achim Pascal Meyer ◽  
John-Dylan Haynes ◽  
Carsten Allefeld

AbstractIn functional magnetic resonance imaging (fMRI), model quality of general linear models (GLMs) for first-level analysis is rarely assessed. In recent work (Soch et al., 2016: “How to avoid mismodelling in GLM-based fMRI data analysis: cross-validated Bayesian model selection”, NeuroImage, vol. 141, pp. 469-489; DOI: 10.1016/j. neuroimage.2016.07.047), we have introduced cross-validated Bayesian model selection (cvBMS) to infer the best model for a group of subjects and use it to guide second-level analysis. While this is the optimal approach given that the same GLM has to be used for all subjects, there is a much more efficient procedure when model selection only addresses nuisance variables and regressors of interest are included in all candidate models. In this work, we propose cross-validated Bayesian model averaging (cvBMA) to improve parameter estimates for these regressors of interest by combining information from all models using their posterior probabilities. This is particularly useful as different models can lead to different conclusions regarding experimental effects and the most complex model is not necessarily the best choice. We find that cvBMS can prevent not detecting established effects and that cvBMA can be more sensitive to experimental effects than just using even the best model in each subject or the model which is best in a group of subjects.


2015 ◽  
Vol 51 (4) ◽  
pp. 2825-2846 ◽  
Author(s):  
Thomas Wöhling ◽  
Anneli Schöniger ◽  
Sebastian Gayler ◽  
Wolfgang Nowak

2019 ◽  
Vol 33 (9) ◽  
pp. 3321-3338 ◽  
Author(s):  
Huaping Huang ◽  
Zhongmin Liang ◽  
Binquan Li ◽  
Dong Wang ◽  
Yiming Hu ◽  
...  

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