A comparison of two model averaging techniques with an application to growth empirics

By J. R. Magnus, Owen Powell, Patricia Prufer. 2010

361 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7d6011b5e56c3210e28a7b16008e6f5938e1854d

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In Economics and Econometrics

Citations in the corpus

Model Averaging and Its Use in Economics (2017, methodology): “ do not. Thus, for example BACE (Bayesian averaging of classical estimates) of Sala-i-Martin et al. (2004) will be discussed in Section 3 (Subsection 3.7) and weighted average least squares (WALS) of Magnus et al. (2010) is explained in Section 4. As a consequence, all methods discussed in Section 3”
Growth slowdowns and the middle-income trap (2013, background): “31 For a full treatment, see Magnus, Powell, and Prüfer (2010) and De Luca and Magnus (2010).”
Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold (2012, methodology): “In addition, Magnus, Powell, and Prufer ( 2010 ) and Magnus, Wan, and Zhang ( 2011 ) proposed a weighted average least squares estimator, which is a Bayesian mixture of frequentist estimators based on a Laplace prior, Schomaker, Wan, and Heumann ( 2010 ) examined the properties of various informatio”
Weighted‐Average Least Squares (WALS): A Survey (2016, methodology): “The WALS estimates obtained in Magnus et al. (2010) are compared to traditional pretest estimates, Bayesian model-average (BMA) estimates, and Bayesian averaging of classical estimates, using the data set analyzed by Sala-i-Martin et al. (2004).”
Model averaging, asymptotic risk, and regressor groups (2014, neutral): “If w∗ ∈ H∗ then w∗ = w∗ which satisfies (23)-(24) with J = M .”
Regression with Imputed Covariates: A Generalized Missing Indicator Approach (2011, methodology): “Magnus, Powell and Pr˜ufer [ 16 ] study the properties of model averaging estimators of the same form as (7) with ‚i = ‚i(e u), where e u is the vector of OLS residuals from the regression of y on W only.”
Model Averaging in Economics: An Overview (2015, neutral): “Moral-Benito (2012) also considers such a dynamic panel model within the BMA approach by combining the likelihood function discussed in Alvarez and Arellano (2003) with the g-UIP priors.”
INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS (2018, neutral): “The model (1) is widely used in the model averaging literature, for example, Magnus, Powell, and Prüfer (2010), Liang et al. (2011), and Liu (2015).”
Real Exchange Rate Misalignments in the Euro Area (2020, neutral): “We start by employing Pesaran’s (2012) strong cross-section dependence (CSD) test in order to assess the presence of common shocks to the countries in the sample.”
Optimal Weight Choice for Frequentist Model Average Estimators (2011, methodology): “The third design is based on a model from Pearson and Timmermann (1994), who considered the predictability of excess returns for the Standard and Poor 500 index.”
Push Factors and Capital Flows to Emerging Markets: Why Knowing Your Lender Matters More than Fundamentals (2015, neutral): “In line with Magnus et al. (2010), variables with the highest PIPs are considered robust.”
Bayesian Model Averaging and Weighted-Average Least Squares: Equivariance, Stability, and Numerical Issues (2011, neutral): “As argued by Magnus et al. (2010), this task is complicated by the fact that the assumed prior distribution involves partially proper and partially improper priors.”
Generalized Least Squares Model Averaging (2016, neutral): “We compare the FGLSMA estimator with HRCp, JMA, WALS for homoskedastic models (Magnus et al., 2010), MMA, and Lasso.”