A class of model averaging estimators
Aman Ullah and
Economics Letters, 2018, vol. 162, issue C, 101-106
Model averaging aims to a trade-off between efficiency and biases. In this paper, a class of model averaging estimators, g-class, is introduced, and its dominance condition over the ordinary least squares estimator is established. All theoretical findings are verified by simulations.
Keywords: Finite sample size; Mean squared error; Model averaging; Sufficient condition (search for similar items in EconPapers)
JEL-codes: C13 C2 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:162:y:2018:i:c:p:101-106
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