kevhuy / WALS

R implementation of Weighted-Average Least Squares Model Averaging (for NB2, GLMs and linear regression models). The current release version can be found on CRAN (https://CRAN.R-project.org/package=WALS).

WALS

WALS implements Weighted-Average Least Squares model averaging for negative binomial regression models of Huynh (2023) (mimeo), generalized linear models of De Luca, Magnus, Peracchi (2018) https://doi.org/10.1016/j.jeconom.2017.12.007 and linear regression models of Magnus, Powell, Pruefer (2010) https://doi.org/10.1016/j.jeconom.2009.07.004, see also Magnus, De Luca (2016) https://doi.org/10.1111/joes.12094.

Weighted-Average Least Squares for the linear regression model is based on the original 'MATLAB' code by Magnus and De Luca https://www.janmagnus.nl/items/WALS.pdf, see also Kumar, Magnus (2013) https://doi.org/10.1007/s13571-013-0060-9 and De Luca, Magnus (2011) https://doi.org/10.1177/1536867X1201100402.