Weighted-average least squares (WALS): A survey

Jan R. Magnus; Giuseppe De Luca

doi:10.1111/joes.12094

Weighted-average least squares (WALS): A survey

Jan R. Magnus^*, Giuseppe De Luca

^*Corresponding author for this work

Research output: Contribution to Journal › Article › Academic › peer-review

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.

Original language	English
Pages (from-to)	117-148
Number of pages	32
Journal	Journal of Economic Surveys
Volume	30
Issue number	1
DOIs	https://doi.org/10.1111/joes.12094
Publication status	Published - 1 Feb 2016

Keywords

Computing time
Frequentist versus Bayesian
Least squares
Model averaging
Priors

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10.1111/joes.12094

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KW - Priors

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Weighted-average least squares (WALS): A survey

Abstract

Keywords

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