Model Averaging in Economics

47 Pages Posted: 14 Sep 2011

See all articles by Enrique Moral-Benito

Enrique Moral-Benito

Banco de España; Universidad Carlos III de Madrid

Date Written: September 13, 2011

Abstract

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

Moral-Benito, Enrique, Model Averaging in Economics (September 13, 2011). Banco de Espana Working Paper No. 1123. Available at SSRN: https://ssrn.com/abstract=1926669 or http://dx.doi.org/10.2139/ssrn.1926669

Enrique Moral-Benito (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Universidad Carlos III de Madrid ( email )

CL. de Madrid 126
Madrid, Madrid 28903
Spain

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