The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation

The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.

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Year of publication:	2006-03
Authors:	Pötscher, Benedikt M.
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Model mixing \| model aggregation \| combination of estimators \| model selection \| finite sample distribution \| asymptotic distribution \| estimation of distribution

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C51 - Model Construction and Estimation ; C20 - Econometric Methods: Single Equation Models. General ; C13 - Estimation ; C52 - Model Evaluation and Testing ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005837243