Model Averaging in Economics: An Overview

30 Pages Posted: 11 Jan 2015

See all articles by Enrique Moral-Benito

Enrique Moral-Benito

Banco de España; Universidad Carlos III de Madrid

Date Written: February 2015


Standard practice in empirical research is based on two steps: first, researchers select a model from the space of all possible models; second, they proceed as if the selected model had generated the data. Therefore, uncertainty in the model selection step is typically ignored. Alternatively, model averaging accounts for this model uncertainty. In this paper, I review the literature on model averaging with special emphasis on its applications to economics. Finally, as an empirical illustration, I consider model averaging to examine the deterrent effect of capital punishment across states in the USA.

Keywords: Capital punishment, Model averaging, Model uncertainty

Suggested Citation

Moral-Benito, Enrique, Model Averaging in Economics: An Overview (February 2015). Journal of Economic Surveys, Vol. 29, Issue 1, pp. 46-75, 2015. Available at SSRN: or

Enrique Moral-Benito (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014

Universidad Carlos III de Madrid ( email )

CL. de Madrid 126
Madrid, Madrid 28903

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