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A Class of Model Averaging Estimators

Shangwei Zhao, Aman Ullah and Xinyu Zhang
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Shangwei Zhao: College of Science, Minzu University of China, China
Xinyu Zhang: Academy of Mathematics and Systems Science, Chinese Academy of Sciences, China

Working Paper series from Rimini Centre for Economic Analysis

Abstract: 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)
New Economics Papers: this item is included in nep-ore
Date: 2018-02
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