Model averaging with covariates that are missing completely at random

Xinyu Zhang

Economics Letters, 2013, vol. 121, issue 3, 360-363

Abstract: Missing data is a common problem in economics studies. We propose using Mallows model averaging (MMA) to deal with this problem, which has an important advantage over its competitors in that it asymptotically achieves the lowest possible squared error. A simulation study in comparison with existing methods strongly favors the MMA estimator.

Keywords: Asymptotic optimality; Mallows model averaging; Missing data (search for similar items in EconPapers)
JEL-codes: C13 C5 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:3:p:360-363

DOI: 10.1016/j.econlet.2013.09.008

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