Model Averaging in Economics
47 Pages Posted: 14 Sep 2011
Date Written: September 13, 2011
Model uncertainty remains a challenge to applied researchers in economics. When many competing models are available for estimation and without enough guidance from theory, model averaging represents an alternative to model selection. Despite model averaging approaches have been present in statistics for many years, only over the recent decades are starting to receive attention in economic applications. This paper presents an overview of model averaging in economics with emphasis and some insights on recent developments in the combination of model averaging with IV and panel data settings.
Keywords: Model averaging, Model uncertainty
JEL Classification: C5
Suggested Citation: Suggested Citation