Consistency of model averaging estimators

Recently, there has been increasing interest in model averaging within frequentist paradigm. In the existing literature, for proving consistency of model averaging estimators, local mis-specification is assumed. In this paper, we show that under general fixed parameter setup, the model averaging estimators remain root-n consistent. This result provides a new theoretical basis for the use of model averaging estimators.

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Year of publication:	2015
Authors:	Zhang, Xinyu
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 130.2015, C, p. 120-123
Publisher:	Elsevier
Subject:	Consistency \| Jackknife model averaging \| Mallows model averaging \| Smoothed AIC \| Smoothed BIC

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Type of publication:	Article
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011263443