Palermo/Amsterdam,
last updated September 16, 2026
This is the website accompanying our book
Weighted-Average Least Squares:
Model Averaging, Shrinkage, and the Normal Location Problem
written by Giuseppe De Luca and Jan R. Magnus, which we hope to publish in the Spring of 2027. The book will come out in the series
Monographs on Statistics and Applied Probability
published by Chapman & Hall/CRC Press.
The book develops the theory of a model-averaging technique called weighted-average least squares (WALS), based on the theory of the normal location model. The current website provides the Stata code relevant to implementing WALS, so it can be used by both experienced and less experienced users.
We shall keep updating the website as we proceed. Further details about the book and the WALS approach can be found below.