Series: Working Papers. 1123.
Author: Enrique Moral-Benito.
Published in: Journal of Economic Surveys, 2015, Vol. 29.
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Abstract
Model uncertainty remains a challenge to applied researchers in economics. When many competing models are available for estimation and without enough guidance from theory, model averaging represents an alternative to model selection. Despite model averaging approaches have been present in statistics for many years, only over the recent decades are starting to receive attention in economic applications. This paper presents an overview of model averaging in economics with emphasis and some insights on recent developments in the combination of model averaging with IV and panel data settings.