Model averaging with averaging covariance matrix

Shangwei Zhao, Xinyu Zhang and Yichen Gao

Economics Letters, 2016, vol. 145, issue C, 214-217

Abstract: This article studies optimal model averaging for linear models with heteroscedasticity. We choose weights by minimizing Mallows-type criterion. Because the covariance matrix of random error in the criterion is unknown, an averaging estimator of covariance matrix is plugged into the criterion. The resulting model averaging estimator is proved to be asymptotically optimal under some regularity conditions. Simulation experiments show that the proposed model averaging method is superior to its competitors.

Keywords: Asymptotic optimality; Heteroscedasticity; Model averaging (search for similar items in EconPapers)
JEL-codes: C13 C2 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:145:y:2016:i:c:p:214-217

DOI: 10.1016/j.econlet.2016.06.011

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