Logo
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

Warning
There is a more recent version of this item available.
[thumbnail of MPRA_paper_73.pdf]
Preview
PDF
MPRA_paper_73.pdf

Download (196kB) | Preview

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.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.