On the dominance of Mallows model averaging estimator over ordinary least squares estimator

Xinyu Zhang, Aman Ullah and Shangwei Zhao

Economics Letters, 2016, vol. 142, issue C, 69-73

Abstract: This note studies Mallows model averaging method for finite sample size situation. Sufficient conditions under which the model averaging estimator dominates the ordinary least squares estimator are provided with respect to mean squared error.

Keywords: Finite sample size; Mean squared error; Model averaging; Sufficient condition (search for similar items in EconPapers)
JEL-codes: C13 C21 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:142:y:2016:i:c:p:69-73

DOI: 10.1016/j.econlet.2016.02.027

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