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Model Averaging In Economics

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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Paper provided by CEMFI in its series Working Papers with number wp2010_1008.

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Date of creation: Oct 2010
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Handle: RePEc:cmf:wpaper:wp2010_1008
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