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