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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.

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Weighted-Average Least Squares Estimation of Panel Data Models

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  • 发表日期：

    2026年

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  • Giuseppe De Luca,
  • Jan R. Magnus

摘要

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.