Bayesian Model Averaging for Autoregressive Distributed Lag (BMA_ADL) in gretl

This paper presents a software package that implements Bayesian Model Averaging for Autoregressive Distributed Lag models BMA_ADL ver.~0.9 in gretl. Gretl (the GNU regression, econometrics and time-series library) is an increasingly popular free, open-source software for econometric analysis with an easy-to-use graphical user interface. Bayesian Model Averaging (BMA) incorporates model uncertainty into conclusions about the estimated parameters. It is an efficient tool for discovering the most likely models and variables by obtaining estimates of their posterior characteristics.