Weighted-average least squares estimation of generalized linear models

Giuseppe De Luca (), Jan Magnus () and Franco Peracchi

No 1711, EIEF Working Papers Series from Einaudi Institute for Economics and Finance (EIEF)

Abstract: 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, Ageing and Retirement in Europe (SHARE).

Pages: 44 pages
Date: 2017, Revised 2017-08
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Weighted-average least squares estimation of generalized linear models (2018)
Working Paper: Weighted-Average Least Squares Estimation of Generalized Linear Models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eie:wpaper:1711

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