Groen, J.J.J.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2009
uncertainty, Bayesian model averaging.
JEL Classiflcation: C11, C22, C53, E31
⁄This paper has beneflted from helpful comments by … curve-type regression. Bayesian model averaging is used to deal with the latter
model uncertainty, where we average over the …
and Watson (1999). Wright (2003) applies Bayesian model averaging across 93 potential
speciflcations, each using one …