The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Model Averaging

  • Gernot Doppelhofer
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2075

Abstract

Model averaging estimates the distribution of quantities of interest across models. Model averaging can be used for inference, prediction and policy analysis to address model uncertainty. Three main approaches are discussed: Bayesian model averaging (BMA), empirical Bayes (EB) methods, and frequentist model averaging (FMA). Differences in prior specifications are contrasted using the example of normal, linear regression models. Finally, the article discusses implementation issues such as numerical simulation techniques and software for model averaging.

Keywords

Bayes’ rule Bayesian estimation Bayesian model averaging Empirical Bayes methods Exchangeability Frequentist model averaging Homoskedasticity Likelihood Markov chain Monte Carlo methods Metropolis–Hastings algorithm Model averaging Model selection criteria Model uncertainty Posterior model probabilities Sensitivity analysis Statistical decision theory Stochastic search variable selection 

JEL Classifications

C10 C50 D81 E52 O40 
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Model Averaging Software and Codes

  1. LeSage’s Econometrics Toolbox: http://www.spatial-econometrics.com

Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Gernot Doppelhofer
    • 1
  1. 1.