Weighted-Average Least Squares Estimation of Panel Data Models
- Authors: Giuseppe De Luca; Jan R. Magnus
- Publication year: 2025
- Type: Capitolo o Saggio
- OA Link: http://hdl.handle.net/10447/674127
Abstract
This paper extends the weighted-average least squares (WALS) model averaging estimator to fixed-effects and random-effects panel data models with strictly exogenous regressors. We consider both the case where the errors are independent and identically distributed, and the case with first-order autocorrelation.