Grouped Model Averaging for Finite Sample Size

Aman Ullah and Xinyu Zhang
Additional contact information
Xinyu Zhang: Chinese Academy of Sciences

No 201501, Working Papers from University of California at Riverside, Department of Economics

Abstract: This paper studies grouped model averaging methods for finite sample size situation. Sufficient conditions under which the grouped model averaging estimator dominates the ordinary least squares estimator are provided. A class of grouped model averaging estimators, g-class, is introduced, and its dominance condition over the ordinary least squares is established. All theoretical findings are verified by simulation examples. We also apply the methods to the analysis of the grain output data of China.

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: 2015-02
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://economics.ucr.edu/repec/ucr/wpaper/201501.pdf First version, 2015 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucr:wpaper:201501

Access Statistics for this paper

More papers in Working Papers from University of California at Riverside, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Kelvin Mac ().