Munich Personal RePEc Archive

Model averaging in economics

Moral-Benito, Enrique (2010): Model averaging in economics.

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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.

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