WALS

Weighted-Average Least Squares Model Averaging

CRAN Package

Implements Weighted-Average Least Squares model averaging for negative binomial regression models of Huynh (2024) doi:10.48550/arXiv.2404.11324, generalized linear models of De Luca, Magnus, Peracchi (2018) doi:10.1016/j.jeconom.2017.12.007 and linear regression models of Magnus, Powell, Pruefer (2010) doi:10.1016/j.jeconom.2009.07.004, see also Magnus, De Luca (2016) doi:10.1111/joes.12094. Weighted-Average Least Squares for the linear regression model is based on the original 'MATLAB' code by Magnus and De Luca https://www.janmagnus.nl/items/WALS.pdf, see also Kumar, Magnus (2013) doi:10.1007/s13571-013-0060-9 and De Luca, Magnus (2011) doi:10.1177/1536867X1201100402.


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