Model averaging in economics

Enrique Moral-Benito

MPRA Paper from University Library of Munich, Germany

Abstract: Fragility of regression analysis to arbitrary assumptions and decisions about choice of control variables is an important concern for applied econometricians (e.g. Leamer (1983)). Sensitivity analysis in the form of model averaging represents an (agnostic) approach that formally addresses this problem of model uncertainty. This paper presents an overview of model averaging methods with emphasis on recent developments in the combination of model averaging with IV and panel data settings.

Keywords: Model uncertainty; model averaging (search for similar items in EconPapers)
JEL-codes: C5 (search for similar items in EconPapers)
Date: 2010-10
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (13)

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Related works:
Working Paper: Model averaging in economics (2011)
Working Paper: Model Averaging in Economics (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:26047

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