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Magnus, JanR. and De Luca, G. (2016). Weighted-average least squares (WALS): A survey Journal of Economic Surveys, 30(1):117--148.

  • Affiliated author
  • Publication year
    2016
  • Journal
    Journal of Economic Surveys
View publication

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.