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21-038/III - Weighted-average least squares (WALS): Confidence and prediction intervals


  • Authors
    Giuseppe De Luca, University of Palermo; Jan R. Magnus, Vrije Universiteit Amsterdam; Franco Peracchi, University of Rome Tor Vergata
  • Publication date
    May 9, 2021
  • Keywords
    post-selection estimators, adaptive lasso, frequentist model averaging, WALS, confidence intervals, prediction intervals, Monte Carlo simulations
  • JEL
    C11, C12, C18, C21, C52