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Asymptotic properties of the weighted average least squares (WALS) estimator
De Luca, Giuseppe; Magnus, Jan; Peracchi, Franco - 2022
We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...
Persistent link: https://www.econbiz.de/10013356478
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Weighted-average least squares (WALS) : a survey
Magnus, Jan R.; De Luca, Giuseppe - In: Journal of economic surveys 30 (2016) 1, pp. 117-148
Persistent link: https://www.econbiz.de/10011553025
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Weighted-average least squares prediction
Magnus, Jan R.; Wang, Wendun; Zhang, Xinyu - In: Econometric reviews 35 (2016) 5/7, pp. 1040-1074
Persistent link: https://www.econbiz.de/10011591015
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Weighted-average least squares estimation of generalized linear models
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - In: Journal of econometrics 204 (2018) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10011974702
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Asymptotic properties of the weighted-average least squares (WALS) estimator
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2022
Persistent link: https://www.econbiz.de/10013174413
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Asymptotic properties of the weighted-average least squares (WALS) estimator
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2022
We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...
Persistent link: https://www.econbiz.de/10013164245