Considerations for assessing model averaging of regression coefficients

Model choice is usually an inevitable source of uncertainty in model‐based statistical analyses. While the focus of model choice was traditionally on methods for choosing a single model, methods to formally account for multiple models within a single analysis are now accessible to many researchers. The specific technique of model averaging was developed to improve predictive ability by combining predictions from a set of models. However, it is now often used to average regression coefficients across multiple models with the ultimate goal of capturing a variable's overall effect. This use of model averaging implicitly assumes the same parameter exists across models so that averaging is sensible. While this assumption may initially seem tenable, regression coefficients associated with particular explanatory variables may not hold equivalent interpretations across all of the models in which they appear, making explanatory inference about covariates challenging. Accessibility to easily implementable software, concerns about being criticized for ignoring model uncertainty, and the chance to avoid having to justify choice of a final model have all led to the increasing popularity of model averaging in practice. We see a gap between the theoretical development of model averaging and its current use in practice, potentially leaving well‐intentioned researchers with unclear inferences or difficulties justifying reasons for using (or not using) model averaging. We attempt to narrow this gap by revisiting some relevant foundations of regression modeling, suggesting more explicit notation and graphical tools, and discussing how individual model results are combined to obtain a model averaged result. Our goal is to help researchers make informed decisions about model averaging and to encourage question‐focused modeling over method‐focused modeling.