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 … a standard asymptotic setup with fixed parameters. We show that, under suitable conditions on the prior, the WALS …