Jesus Crespo Cuaresma (How different is Africa? A comment on Masanjala and Papageorgiou. Journal of Applied Econometrics, 2011) shows that the results in Masanjala and Papageorgiou (Rough and lonely road to prosperity: a reexamination of the sources of growth in Africa using Bayesian model averaging. Journal of Applied Econometrics 2008; 23(5): 671-682) are sensitive to an alternative prior model structure in considering interaction terms. As a side issue, the algorithm for averaging over models is also challenged. In this reply I show that the prior used in Masanjala and Papageorgiou is as sensible as the prior suggested by Crespo Cuaresma. What we learn from Crespo Cuaresma's comment and this reply is that further effort should be dedicated to the study of parameter heterogeneity in the framework of BMA methods.
