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

Benedikt Pötscher

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Model mixing; model aggregation; combination of estimators; model selection; finite sample distribution; asymptotic distribution; estimation of distribution (search for similar items in EconPapers)
JEL-codes: C12 C13 C20 C51 C52 (search for similar items in EconPapers)
Date: 2006-03, Revised 2006-07
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (14)

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https://mpra.ub.uni-muenchen.de/1893/1/MPRA_paper_1893.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:73

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