Weighted-average least squares (WALS): A survey

Jan R. Magnus*, Giuseppe De Luca

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review


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.

Original languageEnglish
Pages (from-to)117-148
Number of pages32
JournalJournal of Economic Surveys
Issue number1
Publication statusPublished - 1 Feb 2016


  • Computing time
  • Frequentist versus Bayesian
  • Least squares
  • Model averaging
  • Priors


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