Consistency of model averaging estimators

Xinyu Zhang

Economics Letters, 2015, vol. 130, issue C, 120-123

Abstract: Recently, there has been increasing interest in model averaging within frequentist paradigm. In the existing literature, for proving consistency of model averaging estimators, local mis-specification is assumed. In this paper, we show that under general fixed parameter setup, the model averaging estimators remain root-n consistent. This result provides a new theoretical basis for the use of model averaging estimators.

Keywords: Consistency; Jackknife model averaging; Mallows model averaging; Smoothed AIC; Smoothed BIC (search for similar items in EconPapers)
JEL-codes: C51 C52 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:130:y:2015:i:c:p:120-123

DOI: 10.1016/j.econlet.2015.03.017

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