ParMA: Parallelised Bayesian Model Averaging for Generalised Linear Models
Riccardo Lucchetti, Luca Pedini · RePEc: Research Papers in Economics · 2020
This paper describes the gretl function package ParMA, which provides Bayesian model averaging in generalised linear models. In order to over-come the lack of analytical specification for many of the models covered, the package features an implementation of the reversible jump Markov chain Monte Carlo technique, following the original idea by Green (1995), as a flexible tool to model several specifications. Particular attention is devoted to computational aspects such as the automatisation of the model building procedure and the parallelisation of the sampling scheme.