Frequentist Model Averaging with Nash Bargaining: A Stochastic Dominance Approach

Stelios Arvanitis ()
Additional contact information
Stelios Arvanitis: Department of Economics, AUEB

No 1535, Working Paper from Economics Department, Queen's University

Abstract: Within the Frequentist Model Averaging framework for linear models, we introduce a multi-objective model averaging methodology that extends both the generalized Jackknife Model Averaging (JMA) and the Mallows Model Averaging (MMA) criteria. Our approach constructs estimators based on stochastic dominance principles and explores averaging methods that minimize multiple scalarizations of the joint criterion integrating MMA and JMA. Additionally, we propose an estimator that can be interpreted as a Nash bargaining solution between the competing scalar criteria. We establish the asymptotic properties of these estimators under both correct specification and global misspecification. Monte Carlo simulations demonstrate that some of the proposed averaging estimators outperform JMA and MMA in terms of MSE/MAE. In an empirical application to economic growth data, our model averaging methods assign greater weight to fundamental Solow-type growth variables while also incorporating regressors that capture the role of geography and institutional quality.

Keywords: frequentistic model averaging; Jacknife MA; Mallows MA; multi-objective optimization; stochastic dominance; approximate bound; â„“p-scalarization; Nash bargaining solution; growth regressions (search for similar items in EconPapers)
JEL-codes: C51 C52 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2025-03
New Economics Papers: this item is included in nep-ecm and nep-gth
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1535.pdf First version 2025 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1535

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock ().