Weighted‐Average Least Squares (WALS): A Survey

32 Pages Posted: 6 Jan 2016

See all articles by J.R. Magnus

J.R. Magnus

Vrije Universiteit Amsterdam, School of Business and Economics

Giuseppe De Luca

University of Palermo

Date Written: February 2016

Abstract

Model averaging has become a popular method of estimation, following increasing evidence that model selection and estimation should be treated as one joint procedure. Weighted‐average least squares (WALS) is a recent model‐average approach, which takes an intermediate position between frequentist and Bayesian methods, allows a credible treatment of ignorance, and is extremely fast to compute. We review the theory of WALS and discuss extensions and applications.

Keywords: Computing time, Frequentist versus Bayesian, Least squares, Model averaging, Priors

Suggested Citation

Magnus, Jan R. and De Luca, Giuseppe, Weighted‐Average Least Squares (WALS): A Survey (February 2016). Journal of Economic Surveys, Vol. 30, Issue 1, pp. 117-148, 2016. Available at SSRN: https://ssrn.com/abstract=2711519 or http://dx.doi.org/10.1111/joes.12094

Jan R. Magnus (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Giuseppe De Luca

University of Palermo ( email )

Viale delle Scienza
Palermo, 90128
Italy

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