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Model averaging in economics

Listed author(s):
  • Moral-Benito, Enrique

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 University Library of Munich, Germany in its series MPRA Paper with number 26047.

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Date of creation: Oct 2010
Handle: RePEc:pra:mprapa:26047
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