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Model averaging in economics

Enrique Moral-Benito

No 1123, Working Papers from Banco de España

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 (search for similar items in EconPapers)
JEL-codes: C5 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2011-09
New Economics Papers: this item is included in nep-hpe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /11/Fich/dt1123e.pdf First version, September 2011 (application/pdf)

Related works:
Working Paper: Model Averaging in Economics (2010) Downloads
Working Paper: Model averaging in economics (2010) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1123

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