Weighted-Average Least Squares Estimation of Generalized Linear Models
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- De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco, 2018. "Weighted-average least squares estimation of generalized linear models," Journal of Econometrics, Elsevier, vol. 204(1), pages 1-17.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2017. "Weighted-average least squares estimation of generalized linear models," EIEF Working Papers Series 1711, Einaudi Institute for Economics and Finance (EIEF), revised Aug 2017.
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More about this item
KeywordsWALS; model averaging; generalized linear models; Monte Carlo; attrition;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-03-05 (All new papers)
- NEP-ECM-2017-03-05 (Econometrics)
- NEP-ORE-2017-03-05 (Operations Research)
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