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22-022/III - Asymptotic properties of the weighted-average least squares (WALS) estimator


  • Authors
    Giuseppe De Luca, University of Palermo; Jan Magnus, Vrije Universiteit Amsterdam; Franco Peracchi, University of Rome Tor Vergata
  • Publication date
    March 3, 2022
  • Keywords
    Model averaging, normal location model, consistency, asymp- totic normality, WALS
  • JEL
    C11, C13, C51, C52