Weighted-average least squares (WALS) : confidence and prediction intervals

by Giuseppe De Luca, Jan R. Magnus, Franco Peracchi

Year of publication:	[2021]
Authors:	De Luca, Giuseppe ; Magnus, Jan R. ; Peracchi, Franco
Publisher:	[Rom] : EIEF, Einaudi Institute for Economics and Finance
Subject:	Linear model \| post-selection estimators \| adaptive lasso \| frequentist model averaging \| WALS \| confidence intervals \| prediction intervals \| Monte Carlo simulations \| Schätztheorie \| Estimation theory \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Prognoseverfahren \| Forecasting model

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