Pötscher, Benedikt M. (2006): The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation. Published in: IMS Lecture Notes , Vol. 52, (2006): pp. 113129.
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Abstract
The finitesample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finitesample distribution of the model averaging estimator is obtained.
Item Type:  MPRA Paper 

Original Title:  The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation 
Language:  English 
Keywords:  Model mixing; model aggregation; combination of estimators; model selection; finite sample distribution; asymptotic distribution; estimation of distribution 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C20  General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection 
Item ID:  1893 
Depositing User:  Benedikt Poetscher 
Date Deposited:  26. Feb 2007 
Last Modified:  17. Feb 2013 08:04 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/1893 
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The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation. (deposited 03. Oct 2006)
 The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation. (deposited 26. Feb 2007) [Currently Displayed]