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.
Item Type: | MPRA Paper |
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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: | 26 Sep 2019 13:08 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/73 |
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