Search results for " condence intervals"

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Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals

2022

We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted-average least squares (WALS), a frequentist model averaging approach with a Bayesian flavor. We concentrate on inference about a single focus parameter, interpreted as the causal effect of a policy or intervention, in the presence of a potentially large number of auxiliary parameters representing the nuisance component of the model. In our Monte Carlo simulations we compare the performance of WALS with that of several competing estimators, including the unrestricted least-squares estimator (with all auxiliary regressors) and the restricted least-squares estimator (with no auxiliary reg…

Shrinkage estimatorStatistics::TheorySettore SECS-P/05Economics Econometrics and Finance (miscellaneous)Linear model WALS condence intervals prediction intervals Monte Carlo simulations.Prediction intervalEstimatorSettore SECS-P/05 - EconometriaComputer Science ApplicationsLasso (statistics)Frequentist inferenceBayesian information criterionStatisticsStatistics::MethodologyAkaike information criterionJackknife resamplingMathematics
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