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 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 > C13  Estimation: General C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General 
Item ID:  73 
Depositing User:  Benedikt Poetscher 
Date Deposited:  03 Oct 2006 
Last Modified:  06 Sep 2016 01:33 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/73 
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 The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation. (deposited 03 Oct 2006) [Currently Displayed]