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.
Magnus JR, De Luca G (2016). Weighted-average least squares (WALS): A survey. JOURNAL OF ECONOMIC SURVEYS, 30(1), 117-148 [10.1111/joes.12094].
Weighted-average least squares (WALS): A survey
DE LUCA, Giuseppe
2016-01-01
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.File | Dimensione | Formato | |
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