6533b86dfe1ef96bd12c9e6e

RESEARCH PRODUCT

WEIGHTED-AVERAGE LEAST SQUARES (WALS): A SURVEY

Jan R. MagnusGiuseppe De Luca

subject

Economics and EconometricsModel selection05 social sciencesBayesian probability01 natural sciencesLeast squares010104 statistics & probabilityFrequentist inferencePosition (vector)0502 economics and businessStatisticsPrior probability0101 mathematicsWeighted arithmetic mean050205 econometrics Mathematics

description

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.

yearjournalcountryeditionlanguage
2014-11-04Journal of Economic Surveys
https://doi.org/10.1111/joes.12094