Weighted-average least squares (WALS): A survey

Giuseppe De Luca, Jan R. Magnus

Risultato della ricerca: Article

10 Citazioni (Scopus)

Abstract

Model averaging has become a popular method of estimation, following increasing evidence that model selection and estimation should be treated as one joint procedure. Weighted-average least squares (WALS) is a recent model-average approach, which takes an intermediate position between frequentist and Bayesian methods, allows a credible treatment of ignorance, and is extremely fast to compute. We review the theory of WALS and discuss extensions and applications.
Lingua originaleEnglish
pagine (da-a)117-148
Numero di pagine32
RivistaJournal of Economic Surveys
Volume30
Stato di pubblicazionePublished - 2016

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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