This paper extends the weighted-average least squares (WALS) model averaging estimator to fixed-effects and random-effects panel data models with strictly exogenous regressors. We consider both the case where the errors are independent and identically distributed, and the case with first-order autocorrelation.
Giuseppe De Luca, Jan R. Magnus (2025). Weighted-Average Least Squares Estimation of Panel Data Models. In M. Arashi, M. Norouzirad (a cura di), Advances in Shrinkage and Penalized Estimation Strategies: Honoring the Contributions of A. K. Md. Ehsanes Saleh (pp. 239-264).
Weighted-Average Least Squares Estimation of Panel Data Models
Giuseppe De LucaPrimo
Membro del Collaboration Group
;
2025-01-01
Abstract
This paper extends the weighted-average least squares (WALS) model averaging estimator to fixed-effects and random-effects panel data models with strictly exogenous regressors. We consider both the case where the errors are independent and identically distributed, and the case with first-order autocorrelation.
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