Munich Personal RePEc Archive

The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation

Pötscher, Benedikt M. (2006): The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation. Forthcoming in: IMS Lecture Notes

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Abstract

The finite-sample 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 finite-sample distribution of the model averaging estimator is obtained.

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