Dataset Information

Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window.

ABSTRACT: Bayesian model averaging has become a widely used approach to accounting for uncertainty about the structural form of the model generating the data. When data arrive sequentially and the generating model can change over time, Dynamic Model Averaging (DMA) extends model averaging to deal with this situation. Often in macroeconomics, however, many candidate explanatory variables are available and the number of possible models becomes too large for DMA to be applied in its original form. We propose a new method for this situation which allows us to perform DMA without considering the whole model space, but using a subset of models and dynamically optimizing the choice of models at each point in time. This yields a dynamic form of Occam's window. We evaluate the method in the context of the problem of nowcasting GDP in the Euro area. We find that its forecasting performance compares well with that of other methods.

SUBMITTER: Onorante L

PROVIDER: S-EPMC4762062 | biostudies-other | 2016 Jan

REPOSITORIES: biostudies-other

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Publications

Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window.

Onorante Luca L Raftery Adrian E AE

European economic review 20160101

Bayesian model averaging has become a widely used approach to accounting for uncertainty about the structural form of the model generating the data. When data arrive sequentially and the generating model can change over time, Dynamic Model Averaging (DMA) extends model averaging to deal with this situation. Often in macroeconomics, however, many candidate explanatory variables are available and the number of possible models becomes too large for DMA to be applied in its original form. We propose ...[more]

PMID: 26917859

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Project description:ObjectiveTo explore and apply multimodel inference to test the relative contributions of latent genetic, environmental and direct causal factors to the covariation between two variables with data from the classical twin design by estimating model-averaged parameters.MethodsBehavior genetics is concerned with understanding the causes of variation in phenotypes and the causes of covariation between two or more phenotypes. Two variables may correlate as a result of genetic, shared environmental or unique environmental factors contributing to variation in both variables. Two variables may also correlate because one or both directly cause variation in the other. Furthermore, covariation may result from any combination of these sources, leading to 25 different identified structural equation models. OpenMx was used to fit all these models to account for covariation between two variables collected in twins. Multimodel inference and model averaging were used to summarize the key sources of covariation, and estimate the magnitude of these causes of covariance. Extensions of these models to test heterogeneity by sex are discussed.ResultsWe illustrate the application of multimodel inference by fitting a comprehensive set of bivariate models to twin data from the Virginia Twin Study of Psychiatric and Substance Use Disorders. Analyses of body mass index and tobacco consumption data show sufficient power to reject distinct models, and to estimate the contribution of each of the five potential sources of covariation, irrespective of selecting the best fitting model. Discrimination between models on sample size, type of variable (continuous versus binary or ordinal measures) and the effect size of sources of variance and covariance.ConclusionsWe introduce multimodel inference and model averaging approaches to the behavior genetics community, in the context of testing models for the causes of covariation between traits in term of genetic, environmental and causal explanations.

Dataset Information

Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window.

Publications

Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window.

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