Weighted-average least squares estimation of generalized linear models
Giuseppe De Luca (),
Jan R. Magnus and
Franco Peracchi ()
Journal of Econometrics, 2018, vol. 204, issue 1, 1-17
The weighted-average least squares (WALS) approach, introduced by Magnus et al. (2010) in the context of Gaussian linear models, has been shown to enjoy important advantages over other strictly Bayesian and strictly frequentist model-averaging estimators when accounting for problems of uncertainty in the choice of the regressors. In this paper we extend the WALS approach to deal with uncertainty about the specification of the linear predictor in the wider class of generalized linear models (GLMs). We study the large-sample properties of the WALS estimator for GLMs under a local misspecification framework, and the finite-sample properties of this estimator by a Monte Carlo experiment the design of which is based on a real empirical analysis of attrition in the first two waves of the Survey of Health, Aging and Retirement in Europe (SHARE).
Keywords: WALS; Model averaging; Generalized linear models; Monte Carlo; Attrition (search for similar items in EconPapers)
JEL-codes: C51 C25 C13 C11 (search for similar items in EconPapers)
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Working Paper: Weighted-average least squares estimation of generalized linear models (2017)
Working Paper: Weighted-Average Least Squares Estimation of Generalized Linear Models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:204:y:2018:i:1:p:1-17
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