[Lecture] Model Averaging and Weighted-Average Least Squares
CRETA is honored to invite Professor Jan R. Magnus from Tilburg University as a visitor on September 25. During his visit, Prof. Magnus will lecture on Model averaging and weighted-average least squares on CRETA Workshop on Advanced Econometrics 19. The workshop is due to take place on September 25 (Friday) at Raphael, GIS NTU Convention Center . All participants are welcomed! Please be sure to register your attendance online by noon, September 21 (Monday).
*Date: September 25 (Friday), 14:00 pm – 16:50 pm
*Venue: Raphael, GIS NTU Convention Center
*Topic: Model averaging and weighted-average least squares
[About the Speaker]
Professor Jan R. Magnus is Emeritus Professor at the Department of Econometrics & Operations Research, Tilburg University, and Visiting Professor at the Department of Econometrics & Operations Research, VU University, Amsterdam. He is research fellow of CentER and the Tinbergen Institute. Magnus is (co)author of eight books and over one hundred scientific papers. His current interests are mainly model averaging, sensitivity analysis, catastrophe, and sport statistics.
Model averaging is concerned with combining information in such a way that both the model selection part and the estimation part of a process are properly taken into account into the moments of the proposed estimator. We concentrate on one specific view towards model averaging, called weighted-average least squares, which is semi-Bayesian.
September 25 (Friday ) Raphael, GIS NTU Convention Center